A change detection procedure for an ergodic diffusion process

作者：Tsukuda Koji^*

来源：Annals of the Institute of Statistical Mathematics, 2017, 69(4): 833-864.

DOI：10.1007/s10463-016-0564-y

• Change point problems
• Diffusion processes
• Weak convergences in L-2(0,1)

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.

• 出版日期2017-8