Change detection in the Cox–Ingersoll–Ross model

Pap Gyula () and Szabó Tamás T. ()
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Pap Gyula: Bolyai Institute, University of Szeged, Hungary
Szabó Tamás T.: Bolyai Institute, University of Szeged, Hungary

Statistics & Risk Modeling, 2016, vol. 33, issue 1-2, 21-40

Abstract: We propose an offline change detection method for the famous Cox–Ingersoll–Ross model based on a continuous sample. We develop one- and two-sided testing procedures for both drift parameters of the process. The test process is based on estimators that are motivated by the discrete time least-squares estimators, and its asymptotic distribution under the no-change hypothesis is that of a Brownian bridge. We prove the asymptotic weak consistence of the test, and derive the asymptotic properties of the change-point estimator under the alternative hypothesis of change at one point in time.

Keywords: Change detection; Cox–Ingersoll–Ross process; Brownian bridge (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:bpj:strimo:v:33:y:2016:i:1-2:p:21-40:n:3

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DOI: 10.1515/strm-2015-0008

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