Test for Parameter Change in Diffusion Processes by Cusum Statistics Based on One-step Estimators
| Year of publication: |
2006
|
|---|---|
| Authors: | Lee, Sangyeol ; Nishiyama, Yoichi ; Yoshida, Nakahiro |
| Published in: |
Annals of the Institute of Statistical Mathematics. - Springer. - Vol. 58.2006, 2, p. 211-222
|
| Publisher: |
Springer |
| Subject: | Test for parameter change | Cusum test | One-step estimator | Diffusion process | Weak convergence | Brownian bridge |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005169241