Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations

被引：2

作者：

Tonaki, Yozo ^{[1
]}

Kaino, Yusuke ^{[2
]}

Uchida, Masayuki ^{[1
]}

机构：

[1] Osaka Univ, Grad Sch Engn Sci, 1-3 Machikaneyama, Toyonaka, Osaka 5608531, Japan

[2] Kobe Univ, Grad Sch Maritime Sci, Higashinada Ku, 5-1-1 Fukaeminami Machi, Kobe, Hyogo 6580022, Japan

来源：

STATISTICAL INFERENCE FOR STOCHASTIC PROCESSES | 2022年 / 25卷 / 02期

关键词：

Adaptive test; Brownian bridge; Cusum test; Diffusion processes; Discrete observations; Test for parameter change; CHANGE-POINT; STATISTICS; VOLATILITY;

D O I：

10.1007/s11203-021-09249-1

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider the adaptive test for the parameter change in discretely observed ergodic diffusion processes based on the cusum test. Using two test statistics based on the two quasi-log likelihood functions of the diffusion parameter and the drift parameter, we perform the change point tests for both diffusion and drift parameters of the diffusion process. It is shown that the test statistics have the limiting distribution of the sup of the norm of a Brownian bridge. Simulation results are illustrated for the 1-dimensional Ornstein-Uhlenbeck process.

引用

页码：397 / 430

页数：34

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