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 language | English |
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Pages (from-to) | 165-183 |
Number of pages | 19 |
Journal | Statistical Inference for Stochastic Processes |
Volume | 12 |
Issue number | 2 |
DOIs | |
State | Published - Jun 2009 |
Keywords
- Brownian bridge
- Cusum test
- Discretely observed process
- Ergodic diffusion process
- Test for parameter change
- Weak convergence