Strong approximations and sequential change-point analysis for diffusion processes

Stefan Mihalache

Statistics & Probability Letters, 2012, vol. 82, issue 3, 464-472

Abstract: In this paper ergodic diffusion processes depending on a parameter in the drift are considered under the assumption that the processes can be observed continuously. Strong approximations by Wiener processes for a stochastic integral and for the estimator process constructed by the one-step procedure of Le Cam are obtained. Applying these approximations, a CUSUM-type procedure is developed for the sequential testing of changes in the parameter.

Keywords: Change-point analysis; Strong approximation; Diffusion process; Sequential testing procedure (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2011.11.026

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