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Asymptotically distribution free test for parameter change in a diffusion process model

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  • Ilia Negri
  • Yoichi Nishiyama

Abstract

A test procedure to detect a change in the value of the parameter in the drift of a diffusion process is proposed. The test statistic is asymptotically distribution free under the null hypothesis that the true parameter does not change. Also, the test is shown to be consistent under the alternative that there exists a change point. Copyright The Institute of Statistical Mathematics, Tokyo 2012

Suggested Citation

  • Ilia Negri & Yoichi Nishiyama, 2012. "Asymptotically distribution free test for parameter change in a diffusion process model," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(5), pages 911-918, October.
    • Handle: RePEc:spr:aistmt:v:64:y:2012:i:5:p:911-918
    DOI: 10.1007/s10463-011-0345-6
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    References listed on IDEAS

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    1. Ilia Negri & Yoichi Nishiyama, 2009. "Goodness of fit test for ergodic diffusion processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(4), pages 919-928, December.
    2. Sangyeol Lee & Yoichi Nishiyama & Nakahiro Yoshida, 2006. "Test for Parameter Change in Diffusion Processes by Cusum Statistics Based on One-step Estimators," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 58(2), pages 211-222, June.
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    Cited by:

    1. Koji Tsukuda, 2017. "A change detection procedure for an ergodic diffusion process," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 69(4), pages 833-864, August.
    2. Ilia Negri & Yoichi Nishiyama, 2017. "Z-process method for change point problems with applications to discretely observed diffusion processes," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 26(2), pages 231-250, June.
    3. Herold Dehling & Brice Franke & Thomas Kott & Reg Kulperger, 2014. "Change point testing for the drift parameters of a periodic mean reversion process," Statistical Inference for Stochastic Processes, Springer, vol. 17(1), pages 1-18, April.
    4. Yozo Tonaki & Yusuke Kaino & Masayuki Uchida, 2022. "Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations," Statistical Inference for Stochastic Processes, Springer, vol. 25(2), pages 397-430, July.

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