Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations
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DOI: 10.1007/s11203-021-09249-1
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Cited by:
- Tonaki, Yozo & Uchida, Masayuki, 2023. "Change point inference in ergodic diffusion processes based on high frequency data," Stochastic Processes and their Applications, Elsevier, vol. 158(C), pages 1-39.
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Keywords
Adaptive test; Brownian bridge; Cusum test; Diffusion processes; Discrete observations; Test for parameter change;All these keywords.
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