No. 926

Title:

Test for parameter change in diffusion processes by cusum statistics based on one-step estimators

Author(s):

Lee, Sangyeol (Seoul National University);
Nishiyama, Yoichi (The Institute of Statistical Mathematics);
Yoshida, Nakahiro (The University of Tokyo)

Key words:

Test for parameter change; cusum test; one-step estimator; diffusion process; weak convergence; Brownian bridge.

Abstract:

In this paper we consider the problem of testing for a parameter change using the cusum test based on one-step estimators in diffusion processes. It is shown that under regularity conditions the cusum test statistic has the limiting distribution of a functional of Brownian bridge.