Strong approximations and sequential change-point analysis for diffusion processes

Stefan-Radu Mihalache

Strong approximations and sequential change-point analysis for diffusion processes

Stefan-Radu Mihalache

Institut for Matematiske Fag

2 Citationer (Scopus)

Abstract

In this paper ergodic diffusion processes depending on a parameter in the drift are considered under the assumption that the processes can be observed continuously. Strong approximations by Wiener processes for a stochastic integral and for the estimator process constructed by the one-step procedure of Le Cam are obtained. Applying these approximations, a CUSUM-type procedure is developed for the sequential testing of changes in the parameter.

Originalsprog	Engelsk
Tidsskrift	Statistics & Probability Letters
Vol/bind	82
Udgave nummer	3
Sider (fra-til)	464-472
ISSN	0167-7152
Status	Udgivet - mar. 2012

Citationsformater

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abstract = "In this paper ergodic diffusion processes depending on a parameter in the drift are considered under the assumption that the processes can be observed continuously. Strong approximations by Wiener processes for a stochastic integral and for the estimator process constructed by the one-step procedure of Le Cam are obtained. Applying these approximations, a CUSUM-type procedure is developed for the sequential testing of changes in the parameter.",

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AU - Mihalache, Stefan-Radu

PY - 2012/3

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N2 - In this paper ergodic diffusion processes depending on a parameter in the drift are considered under the assumption that the processes can be observed continuously. Strong approximations by Wiener processes for a stochastic integral and for the estimator process constructed by the one-step procedure of Le Cam are obtained. Applying these approximations, a CUSUM-type procedure is developed for the sequential testing of changes in the parameter.

AB - In this paper ergodic diffusion processes depending on a parameter in the drift are considered under the assumption that the processes can be observed continuously. Strong approximations by Wiener processes for a stochastic integral and for the estimator process constructed by the one-step procedure of Le Cam are obtained. Applying these approximations, a CUSUM-type procedure is developed for the sequential testing of changes in the parameter.

M3 - Journal article

SN - 0167-7152

VL - 82

SP - 464

EP - 472

JO - Statistics & Probability Letters

JF - Statistics & Probability Letters

IS - 3

ER -