Strong approximations and sequential change-point analysis for diffusion processes

DOI10.1016/J.SPL.2011.11.026zbMath1239.60024OpenAlexW2071943653MaRDI QIDQ419152

Stefan Mihalache

Publication date: 18 May 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.11.026

zbMATH Keywords

diffusion processstrong approximationchange-point analysiscumulative sum control chart (CUSUMsequential testing procedure

Mathematics Subject Classification ID

Strong limit theorems (60F15) Diffusion processes (60J60)

Related Items (3)

A change detection procedure for an ergodic diffusion process ⋮ Strong invariance principles for ergodic Markov processes ⋮ Change point testing for the drift parameters of a periodic mean reversion process

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