Test for parameter change in diffusion processes by cusum statistics based on one-step estimators

Annals of the Institute of Statistical Mathematics

Volumn 58, Issue 2, 2006, Pages 211-222

  Lee, Sangyeol ^a   Nishiyama, Yoichi ^b   Yoshida, Nakahiro ^c  

^a Seoul National University   (South Korea)

^b INSTITUTE OF STATISTICAL MATHEMATICS   (Japan)

^c UNIVERSITY OF TOKYO   (Japan)

Author keywords

Brownian bridge; Cusum test; Diffusion process; One step estimator; Test for parameter change; Weak convergence

Indexed keywords

DIFFUSION; ESTIMATION; FUNCTION EVALUATION; PROBLEM SOLVING;

BROWNIAN BRIDGE; CUSUM TEST; DIFFUSION PROCESS; ONE STEP ESTIMATORS; TEST FOR PARAMETER CHANGE; WEAK CONVERGENCE;

STATISTICS;

EID: 33745143279     PISSN: 00203157     EISSN: 15729052     Source Type: Journal    
DOI: 10.1007/s10463-006-0037-9     Document Type: Article

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