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...
