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 1

Keywords

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

ASJC Scopus subject areas

  • Statistics and Probability

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