Strong approximations and sequential change-point analysis for diffusion processes

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Strong approximations and sequential change-point analysis for diffusion processes. / Mihalache, Stefan-Radu.

I: Statistics & Probability Letters, Bind 82, Nr. 3, 2012, s. 464-472.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Mihalache, S-R 2012, 'Strong approximations and sequential change-point analysis for diffusion processes', Statistics & Probability Letters, bind 82, nr. 3, s. 464-472.

APA

Mihalache, S-R. (2012). Strong approximations and sequential change-point analysis for diffusion processes. Statistics & Probability Letters, 82(3), 464-472.

Vancouver

Mihalache S-R. Strong approximations and sequential change-point analysis for diffusion processes. Statistics & Probability Letters. 2012;82(3):464-472.

Author

Mihalache, Stefan-Radu. / Strong approximations and sequential change-point analysis for diffusion processes. I: Statistics & Probability Letters. 2012 ; Bind 82, Nr. 3. s. 464-472.

Bibtex

@article{240cc87281ca4ba38171b6bd92398bff,
title = "Strong approximations and sequential change-point analysis for diffusion processes",
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.",
author = "Stefan-Radu Mihalache",
year = "2012",
language = "English",
volume = "82",
pages = "464--472",
journal = "Statistics & Probability Letters",
issn = "0167-7152",
publisher = "Elsevier BV * North-Holland",
number = "3",

}

RIS

TY - JOUR

T1 - Strong approximations and sequential change-point analysis for diffusion processes

AU - Mihalache, Stefan-Radu

PY - 2012

Y1 - 2012

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

VL - 82

SP - 464

EP - 472

JO - Statistics & Probability Letters

JF - Statistics & Probability Letters

SN - 0167-7152

IS - 3

ER -

ID: 49695871