Pap, Gyula; Szabó, Tamás T. - In: Statistics & Risk Modeling 33 (2016) 1-2, pp. 21-40
Abstract We propose an offline change detection method for the famous
Cox–Ingersoll–Ross model based on a continuous sample.
We develop one- and two-sided testing procedures for both drift parameters of the process.
The test process is based on estimators that are motivated by the discrete...