Strong approximations and sequential change-point analysis for diffusion processes
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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.
Original language | English |
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Journal | Statistics & Probability Letters |
Volume | 82 |
Issue number | 3 |
Pages (from-to) | 464-472 |
ISSN | 0167-7152 |
Publication status | Published - 2012 |
ID: 49695871