A change detection procedure for an ergodic diffusion process

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A test procedure based on continuous observation to detect a change in drift parameters of an ergodic diffusion process is proposed. The asymptotic behavior of a random field relating to an estimating equation under the null hypothesis is established using weak convergence theory in separable Hilbert spaces. This result is applied to a change point detection test.

Original languageEnglish
Pages (from-to)833-864
Number of pages32
JournalAnnals of the Institute of Statistical Mathematics
Issue number4
Publication statusPublished - Aug 1 2017
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Statistics and Probability


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