Test for Parameter Change in Diffusion Processes by Cusum Statistics Based on One-step Estimators
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
- Stefano Maria IACUS & Nakahiro YOSHIDA, 2009.
"Estimation for the change point of the volatility in a stochastic differential equation,"
Departmental Working Papers
2009-49, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
- Stefano Iacus & Nakahiro Yoshida, 2009. "Estimation for the change point of the volatility in a stochastic differential equation," UNIMI - Research Papers in Economics, Business, and Statistics unimi-1084, Universitá degli Studi di Milano.
- 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.
- Mihalache, Stefan, 2012. "Strong approximations and sequential change-point analysis for diffusion processes," Statistics & Probability Letters, Elsevier, vol. 82(3), pages 464-472.
- Sangyeol Lee & Haejune Oh, 2016. "Parameter change test for autoregressive conditional duration models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 68(3), pages 621-637, June.
- repec:spr:aistmt:v:69:y:2017:i:4:d:10.1007_s10463-016-0564-y is not listed on IDEAS
- 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.
- 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.
- Vyacheslav Abramov & Fima Klebaner, 2007. "Estimation and Prediction of a Non-Constant Volatility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(1), pages 1-23, March.
- Okyoung Na & Youngmi Lee & Sangyeol Lee, 2011. "Monitoring parameter change in time series models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 20(2), pages 171-199, June.
- Habibi Reza, 2011. "A note on approximating distribution functions of cusum and cusumsq tests," Monte Carlo Methods and Applications, De Gruyter, vol. 17(1), pages 1-10, January.
- 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.
More about this item
KeywordsTest for parameter change; Cusum test; One-step estimator; Diffusion process; Weak convergence; Brownian bridge;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:aistmt:v:58:y:2006:i:2:p:211-222. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.