Journal of the Korean Data and Information Science Society

The Korean Data and Information Science Society (한국데이터정보과학회)
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Cusum of squares test for discretely observed sample from diusion processesy

  • Lee, Sang-Yeol (Department of Statistics, Seoul National University) ;
  • Lee, Tae-Wook (Department of Information Statistics, Hankuk University of Foreign Studies) ;
  • Na, Ok-Young (School of Business, Korea University)
  • Published : 2010.01.31
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Abstract

In this paper, we consider the change point problem in diusion processes based on discretely observed sample. Particularly, we consider the change point test for the dispersion parameter when the drift has unknown parameters. In performing a test, we employ the cusum of squares test based on the residuals. It is shown that the test has a limiting distribution of the sup of a Brownian bridge. A simulation result as to the Ornstein-Uhlenbeck process is provided for illustration. It demonstrates the validity of our test.

Keywords

References

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