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

研究成果: Article › 査読

31 被引用数 (Scopus)

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
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	https://doi.org/10.1007/s10463-006-0037-9
出版ステータス	Published - 2006 6
外部発表	はい

ASJC Scopus subject areas

Statistics and Probability

文献へのアクセス

10.1007/s10463-006-0037-9

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。これらがまとまってユニークなフィンガープリントを構成します。

引用スタイル

@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 = jun,

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 -