@article{ff528d560f0c4585b883a1c431b80791,
title = "Asymptotically distribution free test for parameter change in a diffusion process model",
abstract = "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.",
keywords = "Asymptotically distribution free test, Change point problem, Consistent test, Martingale",
author = "Ilia Negri and Yoichi Nishiyama",
note = "Funding Information: Acknowledgments The authors thank the associate editor and the referee for their helpful comments. This work was supported by the Department of Information Technology and Mathematical Methods, Grant 2010 (I.N.) and by Grant-in-Aid for Scientific Research (C), 21540157, from Japan Society for the Promotion of Science (Y.N.).",
year = "2012",
month = oct,
doi = "10.1007/s10463-011-0345-6",
language = "English",
volume = "64",
pages = "911--918",
journal = "Annals of the Institute of Statistical Mathematics",
issn = "0020-3157",
publisher = "Springer Netherlands",
number = "5",
}