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


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  • Sangyeol Lee
  • Yoichi Nishiyama


  • Nakahiro Yoshida
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    Bibliographic Info

    Article provided by Springer in its journal Annals of the Institute of Statistical Mathematics.

    Volume (Year): 58 (2006)
    Issue (Month): 2 (June)
    Pages: 211-222

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    Handle: RePEc:spr:aistmt:v:58:y:2006:i:2:p:211-222

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    Keywords: Test for parameter change; Cusum test; One-step estimator; Diffusion process; Weak convergence; Brownian bridge;


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    1. Sangyeol Lee & Jeongcheol Ha & Okyoung Na & Seongryong Na, 2003. "The Cusum Test for Parameter Change in Time Series Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics & Finnish Statistical Society & Norwegian Statistical Association & Swedish Statistical Association, vol. 30(4), pages 781-796.
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    Cited by:
    1. Nishiyama, Yoichi, 2008. "Nonparametric estimation and testing time-homogeneity for processes with independent increments," Stochastic Processes and their Applications, Elsevier, vol. 118(6), pages 1043-1055, June.
    2. Vyacheslav Abramov & Fima Klebaner, 2007. "Estimation and Prediction of a Non-Constant Volatility," Asia-Pacific Financial Markets, Springer, vol. 14(1), pages 1-23, March.
    3. 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, vol. 64(5), pages 911-918, October.
    4. Mihalache, Stefan, 2012. "Strong approximations and sequential change-point analysis for diffusion processes," Statistics & Probability Letters, Elsevier, vol. 82(3), pages 464-472.
    5. Iacus, Stefano M. & Yoshida, Nakahiro, 2012. "Estimation for the change point of volatility in a stochastic differential equation," Stochastic Processes and their Applications, Elsevier, vol. 122(3), pages 1068-1092.
    6. Okyoung Na & Youngmi Lee & Sangyeol Lee, 2011. "Monitoring parameter change in time series models," Statistical Methods and Applications, Springer, vol. 20(2), pages 171-199, June.
    7. 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.
    8. Junmo Song & Sangyeol Lee, 2009. "Test for parameter change in discretely observed diffusion processes," Statistical Inference for Stochastic Processes, Springer, vol. 12(2), pages 165-183, June.


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