Estimation for the change point of volatility in a stochastic differential equation
نویسندگان
چکیده
منابع مشابه
Estimation for the change point of the volatility in a stochastic differential equation ∗
We consider a multidimensional Itô process Y = (Yt)t∈[0,T ] with some unknown drift coefficient process bt and volatility coefficient σ(Xt, θ) with covariate process X = (Xt)t∈[0,T ], the function σ(x, θ) being known up to θ ∈ Θ. For this model we consider a change point problem for the parameter θ in the volatility component. The change is supposed to occur at some point t∗ ∈ (0, T ). Given di...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2012
ISSN: 0304-4149
DOI: 10.1016/j.spa.2011.11.005