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Asymptotically distribution free test for parameter change in a diffusion process model. (English) Zbl 1254.62089

Summary: A test procedure to detect a change in the value of the parameter in the drift of a diffusion process is proposed. The test statistic is asymptotically distribution free under the null hypothesis that the true parameter does not change. Also, the test is shown to be consistent under the alternative that there exists a change point.

MSC:

62M02 Markov processes: hypothesis testing
62G20 Asymptotic properties of nonparametric inference
62G10 Nonparametric hypothesis testing
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