Authors: | Dehling, Holger Franke, Brice Kott, Thomas Kulperger, Reg |
Title: | Change point testing for the drift parameters of a periodic mean reversion process |
Language (ISO): | en |
Abstract: | In this paper we investigate the problem of detecting a change in the drift parameters of a generalized Ornstein-Uhlenbeck process which is defined as the solution of dX_t = (L(t) - alpha X_t)dt + delta dB_t and which is observed in continuous time. We derive an explicit representation of the generalized likelihood ratio test statistic assuming that the mean reversion function L(t) is a finite linear combination of known basis functions. In the case of a periodic mean reversion function, we determine the asymptotic distribution of the test statistic under the null hypothesis. |
Subject Headings: | Time-inhomogeneous diffusion process generalized likelihood ratio test change point |
URI: | http://hdl.handle.net/2003/29741 http://dx.doi.org/10.17877/DE290R-4933 |
Issue Date: | 2012-11-05 |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_4612_SFB823_dehling_franke_kott_kulperger.pdf | DNB | 387.74 kB | Adobe PDF | View/Open |
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