抄録
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.
本文言語 | English |
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ページ(範囲) | 211-222 |
ページ数 | 12 |
ジャーナル | Annals of the Institute of Statistical Mathematics |
巻 | 58 |
号 | 2 |
DOI | |
出版ステータス | Published - 2006 6 |
外部発表 | はい |
ASJC Scopus subject areas
- Statistics and Probability