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.
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Lee, S., Nishiyama, Y. & Yoshida, N. Test for Parameter Change in Diffusion Processes by Cusum Statistics Based on One-step Estimators. Ann Inst Stat Math 58, 211–222 (2006). https://doi.org/10.1007/s10463-006-0037-9
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DOI: https://doi.org/10.1007/s10463-006-0037-9