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

DOI10.1016/J.SPA.2011.11.005zbMATH Open1235.62118arXiv0906.3108OpenAlexW2794273478WikidataQ115341158 ScholiaQ115341158MaRDI QIDQ765890FDOQ765890

Authors: Nakahiro Yoshida, Stefano M. Iacus 

Publication date: 22 March 2012

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

Abstract: We consider a multidimensional It^o process $Y=(Y_t{)}_{tin[0,T]}$ with some unknown drift coefficient process $b_t$ and volatility coefficient $sigma(X_t,heta)$ with covariate process $X=(X_t{)}_{tin[0,T]}$, the function $sigma(x,heta)$ being known up to $hetainTheta$. For this model we consider a change point problem for the parameter $heta$ in the volatility component. The change is supposed to occur at some point $t^{*}in(0,T)$. Given discrete time observations from the process $(X,Y)$, we propose quasi-maximum likelihood estimation of the change point. We present the rate of convergence of the change point estimator and the limit thereoms of aymptotically mixed type.

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

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zbMATH Keywords

change point estimationvolatilitydiscrete time observationsItô processes

Mathematics Subject Classification ID

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

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Cited In (12)

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

Uses Software

• sde

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