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CHANGE POINT TEST FOR DISPERSION PARAMETER BASED ON DISCRETELY OBSERVED SAMPLE FROM SDE MODELS
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 Title & Authors
CHANGE POINT TEST FOR DISPERSION PARAMETER BASED ON DISCRETELY OBSERVED SAMPLE FROM SDE MODELS
Lee, Sang-Yeol;
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 Abstract
In this paper, we consider the cusum of squares test for the dispersion parameter in stochastic differential equation models. It is shown that the test has a limiting distribution of the sup of a Brownian bridge, unaffected by the drift parameter estimation. A simulation result is provided for illustration.
 Keywords
SDE models;diffusion process;discretely observed sample;residual based test;CUSUM of squares test;
 Language
English
 Cited by
1.
Monitoring change point for diffusion parameter based on discretely observed sample from stochastic differential equation models, Applied Stochastic Models in Business and Industry, 2015, 31, 5, 609  crossref(new windwow)
2.
Inference for a change-point problem under a generalised Ornstein–Uhlenbeck setting, Annals of the Institute of Statistical Mathematics, 2017  crossref(new windwow)
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