Strong approximations and sequential change-point analysis for diffusion processes

Publikation: Bidrag til tidsskriftTidsskriftartikelfagfællebedømt

  • Stefan-Radu Mihalache
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.
OriginalsprogEngelsk
TidsskriftStatistics & Probability Letters
Vol/bind82
Udgave nummer3
Sider (fra-til)464-472
ISSN0167-7152
StatusUdgivet - 2012

ID: 49695871