Dehling, HolgerFranke, BriceKott, ThomasKulperger, Reg2012-11-052012-11-052012-11-05http://hdl.handle.net/2003/2974110.17877/DE290R-4933In 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.enDiscussion Paper / SFB 823;46/2012Time-inhomogeneous diffusion processgeneralized likelihood ratio testchange point310330620working paper