Estimation for change point of discretely observed ergodic diffusion processes

نویسندگان

چکیده

We treat the change point problem in ergodic diffusion processes from discrete observations. Tonaki et al. (2021a) proposed adaptive tests for detecting changes and drift parameters process models. When any or parameter is detected by this other method, next question to consider where located. Therefore, we propose method estimate of two cases: case there a parameter, no but parameter. Furthermore, present rates convergence distributional results estimators. Some examples simulation are also given.

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ژورنال

عنوان ژورنال: Scandinavian Journal of Statistics

سال: 2022

ISSN: ['0303-6898', '1467-9469']

DOI: https://doi.org/10.1111/sjos.12567