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

Sangyeol Lee; Yoichi Nishiyama; Nakahiro Yoshida

doi:10.1007/s10463-006-0037-9

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

Sangyeol Lee, Yoichi Nishiyama^*, Nakahiro Yoshida

^*Corresponding author for this work

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

33 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 language	English
Pages (from-to)	211-222
Number of pages	12
Journal	Annals of the Institute of Statistical Mathematics
Volume	58
Issue number	2
DOIs	https://doi.org/10.1007/s10463-006-0037-9
Publication status	Published - 2006 Jun
Externally published	Yes

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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10.1007/s10463-006-0037-9

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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",

note = "Funding Information: Acknowledgements The first author wishes to acknowlege that this work was supported by Korea Research Foundation Grant 2003-070-C00008.",

year = "2006",

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AU - Lee, Sangyeol

AU - Nishiyama, Yoichi

AU - Yoshida, Nakahiro

N1 - Funding Information: Acknowledgements The first author wishes to acknowlege that this work was supported by Korea Research Foundation Grant 2003-070-C00008.

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

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JF - Annals of the Institute of Statistical Mathematics

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ER -

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

Abstract

Keywords

ASJC Scopus subject areas

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