Strong approximations and sequential change-point analysis for diffusion processes
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Strong approximations and sequential change-point analysis for diffusion processes. / Mihalache, Stefan-Radu.
I: Statistics & Probability Letters, Bind 82, Nr. 3, 2012, s. 464-472.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - Strong approximations and sequential change-point analysis for diffusion processes
AU - Mihalache, Stefan-Radu
PY - 2012
Y1 - 2012
N2 - 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.
AB - 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.
M3 - Journal article
VL - 82
SP - 464
EP - 472
JO - Statistics & Probability Letters
JF - Statistics & Probability Letters
SN - 0167-7152
IS - 3
ER -
ID: 49695871