Bulletin of the
Korean Mathematical Society
BKMS

ISSN(Print) 1015-8634 ISSN(Online) 2234-3016

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Bull. Korean Math. Soc. 2011; 48(4): 839-845

Printed July 1, 2011

https://doi.org/10.4134/BKMS.2011.48.4.839

Copyright © The Korean Mathematical Society.

Change point test for dispersion parameter based on discretely observed sample from SDE models

Sangyeol Lee

Seoul National University

Abstract

In this paper, we consider the cusum of squares test for the dispersion parameter in stochastic differential equation models. It is shown that the test has a limiting distribution of the sup of a Brownian bridge, unaffected by the drift parameter estimation. A simulation result is provided for illustration.

Keywords: SDE models, diffusion process, discretely observed sample, residual based test, CUSUM of squares test

MSC numbers: 62M86

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