CHANGE POINT TEST FOR DISPERSION PARAMETER BASED ON DISCRETELY OBSERVED SAMPLE FROM SDE MODELS

DOI10.4134/BKMS.2011.48.4.839zbMath1219.62124MaRDI QIDQ5199400

Sangyeol Lee

Publication date: 16 August 2011

Published in: Bulletin of the Korean Mathematical Society (Search for Journal in Brave)

Full work available at URL: http://www.mathnet.or.kr/mathnet/kms_content.php?no=406369

zbMATH Keywords

diffusion processresidual based testCUSUM of squares test

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Markov processes: hypothesis testing (62M02)

Related Items (5)

Recent progress in parameter change test for integer-valued time series models ⋮ Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations ⋮ Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting ⋮ Change point inference in ergodic diffusion processes based on high frequency data ⋮ Robust test for dispersion parameter change in discretely observed diffusion processes

This page was built for publication: CHANGE POINT TEST FOR DISPERSION PARAMETER BASED ON DISCRETELY OBSERVED SAMPLE FROM SDE MODELS