Z-process method for change point problems with applications to discretely observed diffusion processes
Z-process method for change point problems with applications to discretely observed diffusion processes
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DOI：
10.1007/s10260-016-0366-7
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发表时间：
2017-06-01
影响因子：
1
通讯作者：
Nishiyama, Yoichi
中科院分区：
文献类型：
--
作者：
Negri, Ilia;Nishiyama, Yoichi
本文的目的是开发一种通用的、统一的方法，基于一些我们称之为“Z-过程”的部分估计函数，来解决数理统计中的一些变点问题。该方法不仅适用于遍历模型，也适用于Fisher信息矩阵随机的一些模型。介绍了一些具体模型的应用，包括扩散过程波动的参数模型。随机时间变换布朗桥过程的模拟作为所提出的测试统计的极限出现，是通过计算机密集使用来执行的。
The aim of this paper is to develop a general, unified approach, based on some partial estimation functions which we call "Z-process", to some change point problems in mathematical statistics. The method proposed can be applied not only to ergodic models but also to some models where the Fisher information matrix is random. Applications to some concrete models, including a parametric model for volatilities of diffusion processes are presented. Simulations for randomly time-transformed Brownian bridge process appearing as the limit of the proposed test statistics are performed with computer intensive use.