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

Ilia Negri; Yoichi Nishiyama

doi:10.1007/s10463-011-0345-6

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

Ilia Negri^*, Yoichi Nishiyama

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

7 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 language	English
Pages (from-to)	911-918
Number of pages	8
Journal	Annals of the Institute of Statistical Mathematics
Volume	64
Issue number	5
DOIs	https://doi.org/10.1007/s10463-011-0345-6
Publication status	Published - 2012 Oct
Externally published	Yes

Keywords

Asymptotically distribution free test
Change point problem
Consistent test
Martingale

ASJC Scopus subject areas

Statistics and Probability

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10.1007/s10463-011-0345-6

Cite this

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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.",

keywords = "Asymptotically distribution free test, Change point problem, Consistent test, Martingale",

author = "Ilia Negri and Yoichi Nishiyama",

note = "Funding Information: Acknowledgments The authors thank the associate editor and the referee for their helpful comments. This work was supported by the Department of Information Technology and Mathematical Methods, Grant 2010 (I.N.) and by Grant-in-Aid for Scientific Research (C), 21540157, from Japan Society for the Promotion of Science (Y.N.).",

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AU - Nishiyama, Yoichi

N1 - Funding Information: Acknowledgments The authors thank the associate editor and the referee for their helpful comments. This work was supported by the Department of Information Technology and Mathematical Methods, Grant 2010 (I.N.) and by Grant-in-Aid for Scientific Research (C), 21540157, from Japan Society for the Promotion of Science (Y.N.).

PY - 2012/10

Y1 - 2012/10

N2 - 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.

AB - 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.

KW - Asymptotically distribution free test

KW - Change point problem

KW - Consistent test

KW - Martingale

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JF - Annals of the Institute of Statistical Mathematics

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ER -

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

Abstract

Keywords

ASJC Scopus subject areas

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