Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1154885 | Statistics & Probability Letters | 2012 | 9 Pages |
Abstract
In this paper ergodic diffusion processes depending on a parameter in the drift are considered under the assumption that the processes can be observed continuously. Strong approximations by Wiener processes for a stochastic integral and for the estimator process constructed by the one-step procedure of Le Cam are obtained. Applying these approximations, a CUSUM-type procedure is developed for the sequential testing of changes in the parameter.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Stefan Mihalache,