Sequential change-point detection for diffusion processes
From MaRDI portal
Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17) Stochastic integrals (60H05) Diffusion processes (60J60) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Sequential statistical analysis (62L10)
Recommendations
- Strong approximations and sequential change-point analysis for diffusion processes
- A change detection procedure for an ergodic diffusion process
- Optimal sequential change detection for fractional diffusion-type processes
- Sequential testing of gradual changes in the drift of a stochastic process
- Asymptotically distribution free test for parameter change in a diffusion process model
Cited in
(12)- Recurrence statistics for anomalous diffusion regime change detection
- \(Z\)-process method for change point problems with applications to discretely observed diffusion processes
- A change detection procedure for an ergodic diffusion process
- On Guaranteed Sequential Change Point Detection for TAR(1)/ARCH(1) Process
- scientific article; zbMATH DE number 5509571 (Why is no real title available?)
- Strong approximations and sequential change-point analysis for diffusion processes
- Small noise asymptotics of the glr test for off-line change detection in misspecified diffusion processes
- scientific article; zbMATH DE number 795279 (Why is no real title available?)
- Optimal sequential change detection for fractional diffusion-type processes
- Sequential testing of gradual changes in the drift of a stochastic process
- Monitoring procedures for detecting gradual changes
- On a multi-channel change-point problem
This page was built for publication: Sequential change-point detection for diffusion processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3095359)