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
Externally publishedYes

Fingerprint

CUSUM Test
Cumulative Sum
Diffusion Process
Statistics
Estimator
Brownian Bridge
Regularity Conditions
Limiting Distribution
Test Statistic
Testing

Keywords

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

ASJC Scopus subject areas

  • Mathematics(all)
  • Statistics and Probability

Cite this

Test for parameter change in diffusion processes by cusum statistics based on one-step estimators. / Lee, Sangyeol; Nishiyama, Yoichi; Yoshida, Nakahiro.

In: Annals of the Institute of Statistical Mathematics, Vol. 58, No. 2, 06.2006, p. 211-222.

Research output: Contribution to journalArticle

@article{d898f9f45f6a4904ae0e360836d8ef2a,
title = "Test for parameter change in diffusion processes by cusum statistics based on one-step estimators",
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.",
keywords = "Brownian bridge, Cusum test, Diffusion process, One-step estimator, Test for parameter change, Weak convergence",
author = "Sangyeol Lee and Yoichi Nishiyama and Nakahiro Yoshida",
year = "2006",
month = "6",
doi = "10.1007/s10463-006-0037-9",
language = "English",
volume = "58",
pages = "211--222",
journal = "Annals of the Institute of Statistical Mathematics",
issn = "0020-3157",
publisher = "Springer Netherlands",
number = "2",

}

TY - JOUR

T1 - Test for parameter change in diffusion processes by cusum statistics based on one-step estimators

AU - Lee, Sangyeol

AU - Nishiyama, Yoichi

AU - Yoshida, Nakahiro

PY - 2006/6

Y1 - 2006/6

N2 - 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.

AB - 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.

KW - Brownian bridge

KW - Cusum test

KW - Diffusion process

KW - One-step estimator

KW - Test for parameter change

KW - Weak convergence

UR - http://www.scopus.com/inward/record.url?scp=33745143279&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=33745143279&partnerID=8YFLogxK

U2 - 10.1007/s10463-006-0037-9

DO - 10.1007/s10463-006-0037-9

M3 - Article

AN - SCOPUS:33745143279

VL - 58

SP - 211

EP - 222

JO - Annals of the Institute of Statistical Mathematics

JF - Annals of the Institute of Statistical Mathematics

SN - 0020-3157

IS - 2

ER -