Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations

DOI10.1007/s11203-021-09249-1OpenAlexW3200389037WikidataQ114223457 ScholiaQ114223457MaRDI QIDQ2144201

Yozo Tonaki, Masayuki Uchida, Yusuke Kaino

Publication date: 1 June 2022

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.13998

zbMATH Keywords

Brownian bridgediscrete observationsdiffusion processesadaptive testtest for parameter changecusum test

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

Related Items (2)

Efficient parameter estimation for parabolic SPDEs based on a log-linear model for realized volatilities ⋮ Change point inference in ergodic diffusion processes based on high frequency data

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