대한수학회보 (Bulletin of the Korean Mathematical Society)

  • 제48권4호
  • /
  • Pages.839-845
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  • 2011
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  • 1015-8634(pISSN)
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  • 2234-3016(eISSN)
대한수학회 (Korean Mathematical Society)
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CHANGE POINT TEST FOR DISPERSION PARAMETER BASED ON DISCRETELY OBSERVED SAMPLE FROM SDE MODELS

  • 투고 : 2010.01.05
  • 발행 : 2011.07.31
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초록

In this paper, we consider the cusum of squares test for the dispersion parameter in stochastic differential equation models. It is shown that the test has a limiting distribution of the sup of a Brownian bridge, unaffected by the drift parameter estimation. A simulation result is provided for illustration.

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참고문헌

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  9. S. Lee, I. Tokutsu, and K. Maekawa, The cusum test for parameter change in regression models with ARCH errors, J. Japan Statist. Soc. 34 (2004), no. 2, 173-188. https://doi.org/10.14490/jjss.34.173
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피인용 문헌

  1. Monitoring change point for diffusion parameter based on discretely observed sample from stochastic differential equation models vol.31, pp.5, 2015, https://doi.org/10.1002/asmb.2064
  2. Inference for a change-point problem under a generalised Ornstein–Uhlenbeck setting 2017, https://doi.org/10.1007/s10463-017-0610-4