论文标题
从离散观察结果中的参数变化的自适应测试
Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations
论文作者
论文摘要
我们根据CUSUM检验考虑了离散观察到的沿贡献扩散过程中参数变化的自适应测试。使用两个测试统计数据基于扩散参数和漂移参数的两个准记录可能性函数，我们对扩散过程的扩散和漂移参数执行更改点测试。结果表明，测试统计量具有布朗桥规范的SUP的限制分布。为1维的Ornstein-Uhlenbeck过程提供了仿真结果。
We consider the adaptive test for the parameter change in discretely observed ergodic diffusion processes based on the cusum test. Using two test statistics based on the two quasi-log likelihood functions of the diffusion parameter and the drift parameter, we perform the change point tests for both diffusion and drift parameters of the diffusion process. It is shown that the test statistics have the limiting distribution of the sup of the norm of a Brownian bridge. Simulation results are illustrated for the 1-dimensional Ornstein-Uhlenbeck process.
