Change point testing for the drift parameters of a periodic mean reversion process

Herold Dehling (), Brice Franke (), Thomas Kott () and Reg Kulperger ()

Statistical Inference for Stochastic Processes, 2014, vol. 17, issue 1, 18 pages

Abstract: In this paper we investigate the problem of detecting a change in the drift parameters of a generalized Ornstein–Uhlenbeck process which is defined as the solution of $$\begin{aligned} dX_t=(L(t)-\alpha X_t) dt + \sigma dB_t \end{aligned}$$ d X t = ( L ( t ) - α X t ) d t + σ d B t and which is observed in continuous time. We derive an explicit representation of the generalized likelihood ratio test statistic assuming that the mean reversion function $$L(t)$$ L ( t ) is a finite linear combination of known basis functions. In the case of a periodic mean reversion function, we determine the asymptotic distribution of the test statistic under the null hypothesis. Copyright Springer Science+Business Media Dordrecht 2014

Keywords: Time-inhomogeneous diffusion process; Change point; Generalized likelihood ratio test (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s11203-014-9092-7

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