Test for parameter change in discretely observed diffusion processes
Test for parameter change in discretely observed diffusion processes
复制标题
测试离散观察的扩散过程中的参数变化
DOI：
10.1007/s11203-008-9033-4
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发表时间：
2009
影响因子：
0.8
通讯作者：
Sangyeol Lee
中科院分区：
文献类型：
--
作者：
Junmo Song;Sangyeol Lee
本文考虑离散可观测扩散过程参数变化的检验问题。对于检验，我们基于Kessler（J Stat 24：211-229，1997）提出的估计量执行累积和检验。证明了检验统计量弱收敛于Browian桥的平方上点。Ornstein-Uhlenbeck和Cox-Ingersoll-Ross过程的模拟结果。
In this paper, we consider the problem of testing for the parameter change in discretely observed diffusion processes. For a test, we perform the cusum test based on the estimator proposed by Kessler (J Stat 24:211–229, 1997). It is shown that the test statistic weakly converges to the sup of the square of a Browian bridge. Simulation results are illustrated for the Ornstein-Uhlenbeck and Cox-Ingersoll-Ross processes.