Test for Parameter Change in Diffusion Processes by Cusum Statistics Based on One-step Estimators

Sangyeol Lee, Yoichi Nishiyama () and Nakahiro Yoshida

Annals of the Institute of Statistical Mathematics, 2006, vol. 58, issue 2, 222 pages

Keywords: Test for parameter change; Cusum test; One-step estimator; Diffusion process; Weak convergence; Brownian bridge (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1007/s10463-006-0037-9

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