A change detection procedure for an ergodic diffusion process. (English) Zbl 1382.62044
Based on continuous time observations, a change point detection test is proposed for evaluating the evidence for a change in drift parameters of an ergodic diffusion process. The approach is based on establishing the asymptotic behavior of a random field relating to an estimating equation under the null hypothesis using weak convergence theory in separable Hilbert spaces.
Reviewer: Susan R. Wilson (Sydney)
MSC:
| 62M07 | Non-Markovian processes: hypothesis testing |
| 60J60 | Diffusion processes |
| 62M40 | Random fields; image analysis |
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