Z-process method for change point problems with applications to discretely observed diffusion processes

Ilia Negri, Yoichi Nishiyama

Research output: Contribution to journalArticle

5 Citations (Scopus)

Abstract

The aim of this paper is to develop a general, unified approach, based on some partial estimation functions which we call “Z-process”, to some change point problems in mathematical statistics. The method proposed can be applied not only to ergodic models but also to some models where the Fisher information matrix is random. Applications to some concrete models, including a parametric model for volatilities of diffusion processes are presented. Simulations for randomly time-transformed Brownian bridge process appearing as the limit of the proposed test statistics are performed with computer intensive use.

Original languageEnglish
Pages (from-to)1-20
Number of pages20
JournalStatistical Methods and Applications
DOIs
Publication statusAccepted/In press - 2016 Aug 27

Fingerprint

Change-point Problem
Diffusion Process
Brownian Bridge
Fisher Information Matrix
Function Estimation
Parametric Model
Volatility
Test Statistic
Model
Statistics
Partial
Diffusion process
Change point
Simulation

Keywords

  • Asymptotically distribution free test
  • Consistent test
  • Ergodic diffusion
  • Volatility models

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Cite this

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