Change point testing for the drift parameters of a periodic mean reversion process

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.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.identifier.uri	http://hdl.handle.net/2003/29741
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-4933
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

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