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.
Asymptotically distribution free test for parameter change in a diffusion process model
NEGRI, Ilia;
2012-01-01
Abstract
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.File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
