A change detection procedure for an ergodic diffusion process

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

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
Volume69
Issue number4
DOIs
Publication statusPublished - Aug 1 2017
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Statistics and Probability

Fingerprint Dive into the research topics of 'A change detection procedure for an ergodic diffusion process'. Together they form a unique fingerprint.

  • Cite this