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Asymptotically distribution free test for parameter change in a diffusion process model

Negri, Ilia; Nishiyama, Yoichi - In: Annals of the Institute of Statistical Mathematics 64 (2012) 5, pp. 911-918

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...

Persistent link: https://www.econbiz.de/10010848673

The generality of the zero-one laws

Takemura, Akimichi; Vovk, Vladimir; Shafer, Glenn - In: Annals of the Institute of Statistical Mathematics 63 (2011) 5, pp. 873-885

Persistent link: https://www.econbiz.de/10009325763

A class of asymptotically normal degenerate quasi U-statistics

Pinheiro, Aluísio; Sen, Pranab; Pinheiro, Hildete - In: Annals of the Institute of Statistical Mathematics 63 (2011) 6, pp. 1165-1182

Persistent link: https://www.econbiz.de/10009325765

Power Divergence Family of Tests for Categorical Time Series Models

Fokianos, Konstantinos - In: Annals of the Institute of Statistical Mathematics 54 (2002) 3, pp. 543-564

Persistent link: https://www.econbiz.de/10005760324

A martingale approach to scan statistics

Pozdnyakov, Vladimir; Glaz, Joseph; Kulldorff, Martin; … - In: Annals of the Institute of Statistical Mathematics 57 (2005) 1, pp. 21-37

Persistent link: https://www.econbiz.de/10005169222

Edgeworth expansion in censored linear regression model

Qin, Gensheng; Jing, Bing-Yi - In: Annals of the Institute of Statistical Mathematics 55 (2003) 3, pp. 597-617

Persistent link: https://www.econbiz.de/10005184685

On the First Entry Time of a ℤ<Subscript>+</Subscript>-valued AR(1) Process

Aly, Emad-Eldin; Bouzar, Nadjib - In: Annals of the Institute of Statistical Mathematics 51 (1999) 2, pp. 359-367

Persistent link: https://www.econbiz.de/10005616220

Expansions for the Distributions of Some Normalized Summations of Random Numbers of I.I.D. Random Variables

Wang, Nan; Liu, Wei - In: Annals of the Institute of Statistical Mathematics 54 (2002) 1, pp. 114-124

Persistent link: https://www.econbiz.de/10005616271

Empirical likelihood inference for censored median regression with weighted empirical hazard functions

Zhao, Yichuan; Yang, Song - In: Annals of the Institute of Statistical Mathematics 60 (2008) 2, pp. 441-457

Persistent link: https://www.econbiz.de/10005616374