Yoichi NISHIYAMA - Abstract

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.