Small noise asymptotics of the glr test for off-line change detection in misspecified diffusion processes

DOI10.1080/17442500008834247zbMath0964.62085OpenAlexW2035900066MaRDI QIDQ4504924

François Le Gland, Fabien Campillo, Yury A. Kutoyants

Publication date: 19 July 2001

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500008834247

zbMATH Keywords

robustnessthreshold selectionchange detectiongeneralized likelihood ratio testsmall noise asymptotics

Mathematics Subject Classification ID

Markov processes: hypothesis testing (62M02)

Related Items (3)

Parameter estimation for continuous time hidden Markov processes ⋮ On misspecifications in regularity and properties of estimators ⋮ On Bayesian estimators in misspecified change-point problems for Poisson process

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