Asymptotically distribution free test for parameter change in a diffusion process model

Ilia Negri, Yoichi Nishiyama

Research output: Contribution to journalArticle

6 Citations (Scopus)

Abstract

A test procedure to detect a change in the value of the parameter in the drift of a diffusion process is proposed. The test statistic is asymptotically distribution free under the null hypothesis that the true parameter does not change. Also, the test is shown to be consistent under the alternative that there exists a change point.

Original languageEnglish
Pages (from-to)911-918
Number of pages8
JournalAnnals of the Institute of Statistical Mathematics
Volume64
Issue number5
DOIs
Publication statusPublished - 2012 Oct
Externally publishedYes

Fingerprint

Distribution-free Test
Diffusion Model
Diffusion Process
Process Model
Distribution-free
Change Point
Null hypothesis
Test Statistic
Alternatives

Keywords

  • Asymptotically distribution free test
  • Change point problem
  • Consistent test
  • Martingale

ASJC Scopus subject areas

  • Statistics and Probability

Cite this

Asymptotically distribution free test for parameter change in a diffusion process model. / Negri, Ilia; Nishiyama, Yoichi.

In: Annals of the Institute of Statistical Mathematics, Vol. 64, No. 5, 10.2012, p. 911-918.

Research output: Contribution to journalArticle

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