Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators

DOI10.1007/s10463-006-0037-9zbMath1095.62100OpenAlexW2147419618MaRDI QIDQ2502150

Yoichi Nishiyama, Sangyeol Lee, Nakahiro Yoshida

Publication date: 12 September 2006

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-006-0037-9

zbMATH Keywords

diffusion processBrownian bridgeWeak convergenceCUSUM testone-step estimatorTest for parameter change

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05) Markov processes: hypothesis testing (62M02)

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