Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes

被引：1
|
作者：
ZHANG ShiBin [1 ]
ZHANG XinSheng [2 ]
机构：
[1] Department of Mathematics,Shanghai Maritime University
[2] Department of Statistics,Fudan University
来源：
Science China Mathematics | 2013年 / 56卷 / 02期
基金：
中国国家自然科学基金;
关键词：
autocorrelation; Brownian bridge; cusum test; Ornstein-Uhlenbeck; test for parameter change; weak convergence;
D O I：
暂无
中图分类号：
O211.62 [马尔可夫过程];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper,we consider the problem of testing for an autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes.For a test,we propose a class of test statistics constructed by an iterated cumulative sums of squares of the difference between two adjacent observations.It is shown that each of the test statistics weakly converges to the supremum of the square of a Brownian bridge.The test statistics are evaluated by some empirical results.
引用
收藏
页码：339 / 357
页数：19
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