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http://dx.doi.org/10.4134/BKMS.2011.48.4.839

CHANGE POINT TEST FOR DISPERSION PARAMETER BASED ON DISCRETELY OBSERVED SAMPLE FROM SDE MODELS  

Lee, Sang-Yeol (Department of Statistics Seoul National University)
Publication Information
Bulletin of the Korean Mathematical Society / v.48, no.4, 2011 , pp. 839-845 More about this Journal
Abstract
In this paper, we consider the cusum of squares test for the dispersion parameter in stochastic differential equation models. It is shown that the test has a limiting distribution of the sup of a Brownian bridge, unaffected by the drift parameter estimation. A simulation result is provided for illustration.
Keywords
SDE models; diffusion process; discretely observed sample; residual based test; CUSUM of squares test;
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