TY - JOUR
T1 - A change detection procedure for an ergodic diffusion process
AU - Tsukuda, Koji
N1 - Funding Information:
The large part of this paper is based on the thesis of the author at SOKENDAI (The Graduate University for Advanced Studies). The revision was done when the author was a member of Kurume University, Fukuoka. The author was a Research Fellow of Japan Society for the Promotion of Science and this work was partly supported by JSPS KAKENHI Grant Number 26-1487 (Grant-in-Aid for JSPS Fellows).
Publisher Copyright:
© 2016, The Institute of Statistical Mathematics, Tokyo.
PY - 2017/8/1
Y1 - 2017/8/1
N2 - 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.
AB - 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.
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U2 - 10.1007/s10463-016-0564-y
DO - 10.1007/s10463-016-0564-y
M3 - Article
AN - SCOPUS:84969764645
SN - 0020-3157
VL - 69
SP - 833
EP - 864
JO - Annals of the Institute of Statistical Mathematics
JF - Annals of the Institute of Statistical Mathematics
IS - 4
ER -