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.
Sangyeol Lee
Seoul National University
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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