Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations

Yozo Tonaki (), Yusuke Kaino and Masayuki Uchida
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Yozo Tonaki: Osaka University
Yusuke Kaino: Kobe University
Masayuki Uchida: Osaka University

Statistical Inference for Stochastic Processes, 2022, vol. 25, issue 2, No 8, 397-430

Abstract: Abstract We consider the adaptive test for the parameter change in discretely observed ergodic diffusion processes based on the cusum test. Using two test statistics based on the two quasi-log likelihood functions of the diffusion parameter and the drift parameter, we perform the change point tests for both diffusion and drift parameters of the diffusion process. It is shown that the test statistics have the limiting distribution of the sup of the norm of a Brownian bridge. Simulation results are illustrated for the 1-dimensional Ornstein-Uhlenbeck process.

Keywords: Adaptive test; Brownian bridge; Cusum test; Diffusion processes; Discrete observations; Test for parameter change (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s11203-021-09249-1

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