抜粋
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.
| 元の言語 | English |
|---|---|
| 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 |
| 発行部数 | 2 |
| DOI | |
| 出版物ステータス | Published - 2006 6 1 |
| 外部発表 | Yes |
ASJC Scopus subject areas
- Statistics and Probability
フィンガープリント Test for parameter change in diffusion processes by cusum statistics based on one-step estimators' の研究トピックを掘り下げます。これらはともに一意のフィンガープリントを構成します。
これを引用
Lee, S., Nishiyama, Y., & Yoshida, N. (2006). Test for parameter change in diffusion processes by cusum statistics based on one-step estimators. Annals of the Institute of Statistical Mathematics, 58(2), 211-222. https://doi.org/10.1007/s10463-006-0037-9