Estimation for the change point of volatility in a stochastic differential equation

DOI10.1016/j.spa.2011.11.005zbMath1235.62118arXiv0906.3108OpenAlexW2794273478WikidataQ115341158 ScholiaQ115341158MaRDI QIDQ765890

Nakahiro Yoshida, Stefano Maria Iacus

Publication date: 22 March 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0906.3108

zbMATH Keywords

volatilitydiscrete time observationschange point estimationItô processes

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items

Anomaly detection of mobile positioning data with applications to COVID-19 situational awareness ⋮ Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations ⋮ Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting ⋮ Change point inference in ergodic diffusion processes based on high frequency data ⋮ Parametric estimation for discretely observed stochastic processes with jumps ⋮ A weighted \(\chi^2\) test to detect the presence of a major change point in non-stationary Markov chains ⋮ Robust test for dispersion parameter change in discretely observed diffusion processes ⋮ Empirical \(L^2\)-distance test statistics for ergodic diffusions ⋮ Estimation of change point for switching fractional diffusion processes ⋮ Estimation of Drift Parameter and Change Point for Switching Fractional Diffusion Processes

Uses Software

• sde

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations
• Nonparametric estimation of structural change points in volatility models for time series
• Test for parameter change in discretely observed diffusion processes
• Lois asymptotiques des tests et estimateurs de rupture dans un modèle statistique classique
• On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
• The Hájek-Rényi inequality for Banach space valued martingales and the \(p\) smoothness of Banach spaces
• Simulation and inference for stochastic differential equations. With R examples.
• Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators
• A Theory of the Term Structure of Interest Rates
• Least Squares Volatility Change Point Estimation for Partially Observed Diffusion Processes
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• On the Cusum test for parameter changes in garch(1,1) Models
• The Cusum Test for Parameter Change in Time Series Models
• Contiguity of Probability Measures
• Inference about the change-point from cumulative sum tests