Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes
Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes
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DOI：
10.1007/s11425-012-4511-y
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发表时间：
2013-02
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影响因子：
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通讯作者：
Shibin Zhang;Xinsheng Zhang
中科院分区：
文献类型：
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作者：
Shibin Zhang;Xinsheng Zhang
在本文中，我们考虑的问题，测试的自相关变化的离散观察Ornstein-Uhlenbeck过程驱动的Lévy过程。对于检验，我们提出了一类由两个相邻观测值之差的平方和的迭代累积构成的检验统计量。证明了每个检验统计量弱收敛于布朗桥平方的上确界。检验统计量的一些实证结果进行了评估。
In this paper, we consider the problem of testing for an autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes. For a test, we propose a class of test statistics constructed by an iterated cumulative sums of squares of the difference between two adjacent observations. It is shown that each of the test statistics weakly converges to the supremum of the square of a Brownian bridge. The test statistics are evaluated by some empirical results.