Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations-Reference-Cited by-同舟云学术

Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations

Published:2021-09-09 Issue: Volume: Page:
ISSN:1387-0874
Container-title:Statistical Inference for Stochastic Processes
language:en
Short-container-title:Stat Inference Stoch Process

Author:

Tonaki Yozo^ORCID,Kaino Yusuke,Uchida Masayuki

Publisher

Springer Science and Business Media LLC

Subject

Statistics and Probability

Link

https://link.springer.com/content/pdf/10.1007/s11203-021-09249-1.pdf

Reference24 articles.

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2. De Gregorio A, Iacus SM (2008) Least squares volatility change point estimation for partially observed diffusion processes. Commun Stat Theory Methods 37:2342–2357

3. Genon-Catalot V, Jacod J (1993) On the estimation of the diffusion coefficient for multidimensional diffusion processes. Annales de l’Institut Henri Poincaré Probabilités et Statistiques 29:119–151

4. Hall P, Heyde CC (1980) Martingale limit theory and its application. Academic Press, New York

5. Iacus SM, Yoshida N (2012) Estimation for the change point of volatility in a stochastic differential equation. Stoch Process Appl 122:1068–1092

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1. Change point inference in ergodic diffusion processes based on high frequency data;Stochastic Processes and their Applications;2023-04

2. Estimation for change point of discretely observed ergodic diffusion processes;Scandinavian Journal of Statistics;2022-02-11

3. Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations;Statistical Inference for Stochastic Processes;2021-09-09