A change detection procedure for an ergodic diffusion process

Koji Tsukuda ()
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Koji Tsukuda: Waseda University

Annals of the Institute of Statistical Mathematics, 2017, vol. 69, issue 4, No 5, 833-864

Abstract: Abstract A test procedure based on continuous observation to detect a change in drift parameters of an ergodic diffusion process is proposed. The asymptotic behavior of a random field relating to an estimating equation under the null hypothesis is established using weak convergence theory in separable Hilbert spaces. This result is applied to a change point detection test.

Keywords: Change point problems; Diffusion processes; Weak convergences in $$L^2(0; 1)$$ L 2 ( 0; 1 ) (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1007/s10463-016-0564-y

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