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

DOI10.1016/J.SPA.2011.11.005MaRDI QIDQ765890zbMATH OpenOpenAlexWikidataFDO

Authors Nakahiro Yoshida, Stefano M. 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

change point estimationdiscrete time observationsItô processesvolatility

Mathematics Subject Classification ID

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

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 $t^{\ast }in(0,T)$. 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.

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Cited in

(14)

• Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting
• Parametric estimation for discretely observed stochastic processes with jumps
• Robust test for dispersion parameter change in discretely observed diffusion processes
• Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations
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• Anomaly detection of mobile positioning data with applications to COVID-19 situational awareness

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