We deal with the change point problem in ergodic diffusion processes based on high frequency data. Tonaki et al. (2020, 2021) studied the change point problem for the ergodic diffusion process model. However, the change point problem for the drift parameter when the diffusion parameter changes is still open. Therefore, we consider the change detection and the change point estimation for the drift parameter taking into account that there is a change point in the diffusion parameter. Moreover, we examine the performance of the tests and the estimation with numerical simulations.
翻译:我们处理基于高频数据的流星体扩散过程的变化点问题。Tonaki等人(2020年、2021年)研究了流星体扩散过程模型的变化点问题。然而,当扩散参数变化仍然开放时,流星体参数的变化点问题。因此,我们考虑到扩散参数存在变化点,考虑漂流参数的变化探测和变化点估计。此外,我们用数字模拟来审查测试的性能和估计。