@article{d898f9f45f6a4904ae0e360836d8ef2a,
title = "Test for parameter change in diffusion processes by cusum statistics based on one-step estimators",
abstract = "In this paper, we consider the problem of testing for a parameter change using the cusum test based on one-step estimators in diffusion processes. It is shown that under regularity conditions the cusum test statistic has the limiting distribution of a functional of Brownian bridge.",
keywords = "Brownian bridge, Cusum test, Diffusion process, One-step estimator, Test for parameter change, Weak convergence",
author = "Sangyeol Lee and Yoichi Nishiyama and Nakahiro Yoshida",
note = "Funding Information: Acknowledgements The first author wishes to acknowlege that this work was supported by Korea Research Foundation Grant 2003-070-C00008.",
year = "2006",
month = jun,
doi = "10.1007/s10463-006-0037-9",
language = "English",
volume = "58",
pages = "211--222",
journal = "Annals of the Institute of Statistical Mathematics",
issn = "0020-3157",
publisher = "Springer Netherlands",
number = "2",
}