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<p>In this paper, we consider the problem of change-point detection for the diffusion parameter and the drift parameter of a <i>d</i>-dimensional diffusion process. Under the null hypothesis, we give the limiting distributions of the CUSUM-type change-point test statistics for the diffusion parameters, which extends the test statistics proposed by Lee (<CitationRef CitationID="CR14">2011</CitationRef>) to the <i>d</i>-dimensional case. In order to improve the power of change-point statistic, we consider the combination statistic and give the limiting distribution. Moreover, some simulations and real data analysis are illustrated to our tests. It is shown that power of our change-point combination statistic is better than the other methods of change-point.</p>

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Change-point tests for parameters of diffusion processes from discrete observations

  • 期刊论文

  • 发表日期：

    2025年12月16日

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  • Saisai Ding,
  • Yuhe Bai,
  • Wenzhi Yang,
  • Xiangjun Wang

摘要

In this paper, we consider the problem of change-point detection for the diffusion parameter and the drift parameter of a d-dimensional diffusion process. Under the null hypothesis, we give the limiting distributions of the CUSUM-type change-point test statistics for the diffusion parameters, which extends the test statistics proposed by Lee (2011) to the d-dimensional case. In order to improve the power of change-point statistic, we consider the combination statistic and give the limiting distribution. Moreover, some simulations and real data analysis are illustrated to our tests. It is shown that power of our change-point combination statistic is better than the other methods of change-point.