Department of Mathematics
Test for parameter change in diffusion processes
by cusum statistics based on one-step estimators
Yoichi Nishiyama (The Institute of Statistical Mathematics, Tokyo), 3 November 2004
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.
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Budhi Arta Surya
(surya@math.uu.nl)