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~person:"Akahira, Masafumi"
~person:"Nishiyama, Yoichi"
~subject:"Cusum test"
~subject:"Discrete time observations"
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Cusum test
Discrete time observations
Asymptotically distribution free test
2
Consistent test
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Edgeworth expansion
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Weak convergence
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maximum likelihood estimator
2
truncated distributions
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2a-th order asymptotic distribution
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2a-th order asymptotic efficiency
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2a-th order asymptotically median unbiased estimator
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Amount of Rényi type information
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Asymptotically ancillary statistic
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Asymptotically distribution free tests
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Bayes estimator
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Bessel differential equation
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Best location equivalent estimator
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Bootstrap process
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Brownian bridge
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Change point problem
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Counting process
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Cramer-Rao bound
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Diffusion process
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Discrete observation
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Goodness of fit test
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Higher order two-sided asymptotic efficiency
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Local asymptotic normality
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Local time
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Loss function
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Loss of information
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Martingale
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Multiplicative intensity model
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Non-regular case
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One-step estimator
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Rényi measure
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Small diffusion process
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Akahira, Masafumi
Nishiyama, Yoichi
Lee, Sangyeol
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Negri, Ilia
1
Yoshida, Nakahiro
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Annals of the Institute of Statistical Mathematics
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Goodness of fit test for small diffusions by discrete time observations
Negri, Ilia
;
Nishiyama, Yoichi
- In:
Annals of the Institute of Statistical Mathematics
63
(
2011
)
2
,
pp. 211-225
Persistent link: https://www.econbiz.de/10008925544
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2
Test for Parameter Change in Diffusion Processes by Cusum Statistics Based on One-step Estimators
Lee, Sangyeol
;
Nishiyama, Yoichi
;
Yoshida, Nakahiro
- In:
Annals of the Institute of Statistical Mathematics
58
(
2006
)
2
,
pp. 211-222
Persistent link: https://www.econbiz.de/10005169241
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