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A test for independence of two stationary infinite order autoregressive processes

Kim, Eunhee; Lee, Sangyeol - In: Annals of the Institute of Statistical Mathematics 57 (2005) 1, pp. 105-127

Persistent link: https://www.econbiz.de/10005395856

Minimum density power divergence estimator for diffusion processes

Lee, Sangyeol; Song, Junmo - In: Annals of the Institute of Statistical Mathematics 65 (2013) 2, pp. 213-236

In this paper, we consider the robust estimation for a certain class of diffusion processes including the Ornstein–Uhlenbeck process based on discrete observations. As a robust estimator, we consider the minimum density power divergence estimator (MDPDE) proposed by Basu et al. (Biometrika...

Persistent link: https://www.econbiz.de/10011000048

Test for parameter change based on the estimator minimizing density-based divergence measures

Lee, Sangyeol; Na, Okyoung - In: Annals of the Institute of Statistical Mathematics 57 (2005) 3, pp. 553-573

Persistent link: https://www.econbiz.de/10005616413

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

On the cusum of squares test for variance change in nonstationary and nonparametric time series models

Lee, Sangyeol; Na, Okyoung; Na, Seongryong - In: Annals of the Institute of Statistical Mathematics 55 (2003) 3, pp. 467-485

Persistent link: https://www.econbiz.de/10005184609