Iacus, Stefano M.; Yoshida, Nakahiro - In: Stochastic Processes and their Applications 122 (2012) 3, pp. 1068-1092
We consider a multidimensional Itô process Y=(Yt)t∈[0,T] with some unknown drift coefficient process bt and volatility coefficient σ(Xt,θ) with covariate process X=(Xt)t∈[0,T], the function σ(x,θ) being known up to θ∈Θ. For this model, we consider a change point problem for the...
