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dc.contributor.authorDehling, Holger-
dc.contributor.authorFranke, Brice-
dc.contributor.authorKott, Thomas-
dc.contributor.authorKulperger, Reg-
dc.date.accessioned2012-11-05T14:29:30Z-
dc.date.available2012-11-05T14:29:30Z-
dc.date.issued2012-11-05-
dc.identifier.urihttp://hdl.handle.net/2003/29741-
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-4933-
dc.description.abstractIn 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.en
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB 823;46/2012-
dc.subjectTime-inhomogeneous diffusion processen
dc.subjectgeneralized likelihood ratio testen
dc.subjectchange pointen
dc.subject.ddc310-
dc.subject.ddc330-
dc.subject.ddc620-
dc.titleChange point testing for the drift parameters of a periodic mean reversion processen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access-
Appears in Collections:Sonderforschungsbereich (SFB) 823

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