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

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

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...

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Veröffentlicht in:Annals of the Institute of Statistical Mathematics 2012-10, Vol.64 (5), p.911-918
Hauptverfasser: Negri, Ilia, Nishiyama, Yoichi
Format: Artikel
Sprache:eng
Schlagworte:
Asymptotic properties
Diffusion
Drift
Economics
Finance
Insurance
Management
Mathematical functions
Mathematical models
Mathematics
Mathematics and Statistics
Null hypothesis
Random variables
Statistics
Statistics for Business
Stochastic models
Time series
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Beschreibung
Zusammenfassung: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.
ISSN:0020-3157
1572-9052
DOI:10.1007/s10463-011-0345-6