Asymptotically distribution free test for parameter change in a diffusion process model

Ilia Negri () and Yoichi Nishiyama

Annals of the Institute of Statistical Mathematics, 2012, vol. 64, issue 5, 918 pages

Abstract: A test procedure to detect a change in the value of the parameter in the drift of a diffusion process is proposed. The test statistic is asymptotically distribution free under the null hypothesis that the true parameter does not change. Also, the test is shown to be consistent under the alternative that there exists a change point. Copyright The Institute of Statistical Mathematics, Tokyo 2012

Keywords: Asymptotically distribution free test; Consistent test; Change point problem; Martingale (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s10463-011-0345-6

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