Yoichi NISHIYAMA - Abstract
Yoichi NISHIYAMA - Abstract![](/fr/seminaires-conferences/archives/workshop/workshop-s-a-p-s-v-6-8-janvier-2005-1/workshop-s-a-p-s-v-6-8-janvier-2005/yoichi-nishiyama-abstract/_attachment/image-header.jpg)
CHANGE POINT PROBLEM FOR DIFFUSION PROCESSES
Yoichi NISHIYAMA
The Institute of Statistical Mathematics
Tokyo, Japan
ABSTRACT
We consider testing for a parameter change for diffusion processes. We propose a CUSUM test based on one-step estimators, and derive its asymptotic behaviour under the hypothesis that there is no change point. The limit is a functional of Brownian bridge.