Strong approximations and sequential change-point analysis for diffusion processes
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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.
Originalsprog | Engelsk |
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Tidsskrift | Statistics & Probability Letters |
Vol/bind | 82 |
Udgave nummer | 3 |
Sider (fra-til) | 464-472 |
ISSN | 0167-7152 |
Status | Udgivet - 2012 |
ID: 49695871