2021
DOI: 10.48550/arxiv.2102.06871
|View full text |Cite
Preprint
|
Sign up to set email alerts
|

Estimation for change point of discretely observed ergodic diffusion processes

Abstract: We treat the change point problem in ergodic diffusion processes from discrete observations. Tonaki et al. ( 2020) proposed adaptive tests for detecting changes in the diffusion and drift parameters in ergodic diffusion models. When any changes are detected by this method, the next question to be considered is where the change point is. Therefore, we propose the method to estimate the change point of the parameter for two cases: the case where there is a change in the diffusion parameter, and the case where th… Show more

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...
4

Citation Types

1
14
0

Year Published

2021
2021
2022
2022

Publication Types

Select...
1
1

Relationship

1
1

Authors

Journals

citations
Cited by 2 publications
(15 citation statements)
references
References 8 publications
(23 reference statements)
1
14
0
Order By: Relevance
“…In this paper, we consider the change point problem for ergodic diffusion processes. The change point problem for diffusion processes based on discrete observations has been studied by many researchers, for non-ergodic, see De Gregorio and Iacus (2008), Iacus and Yoshida (2012) and for ergodic, see Song and Lee (2009), Lee (2011), Negri and Nishiyama (2017), Song (2020), Tonaki et al (2020Tonaki et al ( ,2021 and reference therein. De Gregorio and Iacus (2008) considered the test for changes in the diffusion parameter and the change point estimation in non-ergodic case, and Iacus and Yoshida (2012) generalized the estimation method.…”
Section: Introductionmentioning
confidence: 99%
See 4 more Smart Citations
“…In this paper, we consider the change point problem for ergodic diffusion processes. The change point problem for diffusion processes based on discrete observations has been studied by many researchers, for non-ergodic, see De Gregorio and Iacus (2008), Iacus and Yoshida (2012) and for ergodic, see Song and Lee (2009), Lee (2011), Negri and Nishiyama (2017), Song (2020), Tonaki et al (2020Tonaki et al ( ,2021 and reference therein. De Gregorio and Iacus (2008) considered the test for changes in the diffusion parameter and the change point estimation in non-ergodic case, and Iacus and Yoshida (2012) generalized the estimation method.…”
Section: Introductionmentioning
confidence: 99%
“…Song and Lee (2009), Lee (2011), andSong (2020) considered the test for changes in the diffusion parameter in ergodic case. Furthermore, Negri and Nishiyama (2017) and Tonaki et al (2020) proposed simultaneous test and adaptive tests for changes in the diffusion and drift parameters, respectively, and Tonaki et al (2021) treated change point estimation for the case where there is a change in the diffusion parameter and for the case where there is no change in the diffusion parameter but there is a change in the drift parameter. The method proposed by Tonaki et al (2020Tonaki et al ( ,2021 is summarized as follows.…”
Section: Introductionmentioning
confidence: 99%
See 3 more Smart Citations