Strong approximations and sequential change-point analysis for diffusion processes

In this paper ergodic diffusion processes depending on a parameter in the drift are considered under the assumption that the processes can be observed continuously. Strong approximations by Wiener processes for a stochastic integral and for the estimator process constructed by the one-step procedure of Le Cam are obtained. Applying these approximations, a CUSUM-type procedure is developed for the sequential testing of changes in the parameter.

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Year of publication:	2012
Authors:	Mihalache, Stefan
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 3, p. 464-472
Publisher:	Elsevier
Subject:	Change-point analysis \| Strong approximation \| Diffusion process \| Sequential testing procedure

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010571782