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

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