Test for Parameter Change in Diffusion Processes by Cusum Statistics Based on One-step Estimators

被引：0
|
作者：
Sangyeol Lee
Yoichi Nishiyama
Nakahiro Yoshida
机构：
[1] Seoul National University,Department of Statistics
[2] The Institute of Statistical Mathematics,Graduate School of Mathematical Sciences
[3] The University of Tokyo,undefined
来源：
Annals of the Institute of Statistical Mathematics | 2006年 / 58卷
关键词：
Test for parameter change; Cusum test; One-step estimator; Diffusion process; Weak convergence; Brownian bridge;
D O I：
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中图分类号：
学科分类号：
摘要：
In this paper, we consider the problem of testing for a parameter change using the cusum test based on one-step estimators in diffusion processes. It is shown that under regularity conditions the cusum test statistic has the limiting distribution of a functional of Brownian bridge.
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页码：211 / 222
页数：11
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