Z-process method for change point problems with applications to discretely observed diffusion processes

Ilia Negri () and Yoichi Nishiyama ()
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Ilia Negri: University of Bergamo
Yoichi Nishiyama: Waseda University

Statistical Methods & Applications, 2017, vol. 26, issue 2, No 3, 250 pages

Abstract: Abstract The aim of this paper is to develop a general, unified approach, based on some partial estimation functions which we call “Z-process”, to some change point problems in mathematical statistics. The method proposed can be applied not only to ergodic models but also to some models where the Fisher information matrix is random. Applications to some concrete models, including a parametric model for volatilities of diffusion processes are presented. Simulations for randomly time-transformed Brownian bridge process appearing as the limit of the proposed test statistics are performed with computer intensive use.

Keywords: Asymptotically distribution free test; Consistent test; Ergodic diffusion; Volatility models (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (6)

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DOI: 10.1007/s10260-016-0366-7

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