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Article provided by Springer in its journal Statistical Inference for Stochastic Processes.

Volume (Year): 12 (2009)
Issue (Month): 2 (June)
Pages: 165-183
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:spr:sistpr:v:12:y:2009:i:2:p:165-183

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Related research

Keywords: Ergodic diffusion process; Discretely observed process; Cusum test; Test for parameter change; Weak convergence; Brownian bridge;

References listed on IDEAS
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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 and Swedish Statistical Association, vol. 30(4), pages 781-796. [Downloadable!] (restricted)
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, vol. 58(2), pages 211-222, June. [Downloadable!] (restricted)

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This page was last updated on 2009-12-22.