Change point testing for the drift parameters of a periodic mean reversion process
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KeywordsTime-inhomogeneous diffusion process Change point Generalized likelihood ratio test
This work was partly supported by the Collaborative Research Project SFB 823 (Statistical modelling of nonlinear dynamic processes) of the German Research Foundation DFG. Thomas Kott was supported by the E.ON Ruhrgas AG. The authors wish to thank Martin Wendler for his help with the proof of Propostion 4.2, and two anonymous referees for their careful reading of the manuscript and for their comments that helped to improve the paper.
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