Test for parameter change in discretely observed diffusion processes

Junmo Song, Sangyeol Lee

Research output: Contribution to journalArticlepeer-review

16 Scopus citations

Abstract

In this paper, we consider the problem of testing for the parameter change in discretely observed diffusion processes. For a test, we perform the cusum test based on the estimator proposed by Kessler (J Stat 24:211-229, 1997). It is shown that the test statistic weakly converges to the sup of the square of a Browian bridge. Simulation results are illustrated for the Ornstein-Uhlenbeck and Cox-Ingersoll-Ross processes.

Original languageEnglish
Pages (from-to)165-183
Number of pages19
JournalStatistical Inference for Stochastic Processes
Volume12
Issue number2
DOIs
StatePublished - Jun 2009

Keywords

  • Brownian bridge
  • Cusum test
  • Discretely observed process
  • Ergodic diffusion process
  • Test for parameter change
  • Weak convergence

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