Test for parameter change in diffusion processes by cusum statistics based on one-step estimators

Sangyeol Lee, Yoichi Nishiyama, Nakahiro Yoshida

Research output: Contribution to journalArticle

31 Citations (Scopus)

Abstract

In this paper, we consider the problem of testing for a parameter change using the cusum test based on one-step estimators in diffusion processes. It is shown that under regularity conditions the cusum test statistic has the limiting distribution of a functional of Brownian bridge.

Original languageEnglish
Pages (from-to)211-222
Number of pages12
JournalAnnals of the Institute of Statistical Mathematics
Volume58
Issue number2
DOIs
Publication statusPublished - 2006 Jun 1

Keywords

  • Brownian bridge
  • Cusum test
  • Diffusion process
  • One-step estimator
  • Test for parameter change
  • Weak convergence

ASJC Scopus subject areas

  • Statistics and Probability

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