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CHANGE POINT TEST FOR DISPERSION PARAMETER BASED ON DISCRETELY OBSERVED SAMPLE FROM SDE MODELS

Lee, Sang-Yeol

  • Received : 2010.01.05
  • Published : 2011.07.31

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

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Cited by

  1. Monitoring change point for diffusion parameter based on discretely observed sample from stochastic differential equation models vol.31, pp.5, 2015, https://doi.org/10.1002/asmb.2064
  2. Inference for a change-point problem under a generalised Ornstein–Uhlenbeck setting 2017, https://doi.org/10.1007/s10463-017-0610-4