Robust test for dispersion parameter change in discretely observed diffusion processes
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Publication:2008123
DOI10.1016/j.csda.2019.106832OpenAlexW2971678313WikidataQ127321602 ScholiaQ127321602MaRDI QIDQ2008123
Publication date: 22 November 2019
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1906.12208
Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60) Markov processes: hypothesis testing (62M02)
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A robust approach for testing parameter change in Poisson autoregressive models ⋮ Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations ⋮ Test for parameter change in the presence of outliers: the density power divergence-based approach ⋮ Change point inference in ergodic diffusion processes based on high frequency data ⋮ Robust test for structural instability in dynamic factor models ⋮ Sequential change point test in the presence of outliers: the density power divergence based approach
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