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.
|Number of pages||32|
|Journal||Annals of the Institute of Statistical Mathematics|
|Publication status||Published - Aug 1 2017|
All Science Journal Classification (ASJC) codes
- Statistics and Probability