Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Dehling, Holger | - |
dc.contributor.author | Franke, Brice | - |
dc.contributor.author | Kott, Thomas | - |
dc.contributor.author | Kulperger, Reg | - |
dc.date.accessioned | 2012-11-05T14:29:30Z | - |
dc.date.available | 2012-11-05T14:29:30Z | - |
dc.date.issued | 2012-11-05 | - |
dc.identifier.uri | http://hdl.handle.net/2003/29741 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-4933 | - |
dc.description.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. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB 823;46/2012 | - |
dc.subject | Time-inhomogeneous diffusion process | en |
dc.subject | generalized likelihood ratio test | en |
dc.subject | change point | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | Change point testing for the drift parameters of a periodic mean reversion process | en |
dc.type | Text | de |
dc.type.publicationtype | workingPaper | de |
dcterms.accessRights | open access | - |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
DP_4612_SFB823_dehling_franke_kott_kulperger.pdf | DNB | 387.74 kB | Adobe PDF | View/Open |
This item is protected by original copyright |
This item is protected by original copyright rightsstatements.org