Change point inference in ergodic diffusion processes based on high frequency data

DOI10.1016/J.SPA.2022.12.011OpenAlexW4287201595MaRDI QIDQ2689889

Masayuki Uchida, Yozo Tonaki

Publication date: 14 March 2023

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2104.11438

zbMATH Keywords

diffusion processeshigh frequency dataadaptive testchange point estimationchange point detection

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX)

Cites Work

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