Speaker : Prof. Brice Franke
Title : Change point testing for drift in a periodic mean reversion process
Time : 2013-03-18 (Mon) 14:30 -
Place : Seminar Room 722, Institute of Mathematics (NTU Campus)
Abstract: In this talk we discuss the problem of detecting a change in the drift parameters of the time-inhomogeneous Ornstein Uhlenbeck process dX_t = (L(t)-α X_t) dt+ σ dB_t which is observed in continuous time. We present a representation of the likelihood ratio test statistic when the mean reversion function L(t) is a finite sum of known basis functions which are linear in the parameters. Further we discuss the asymptotic distribution of the test-statistics under the null hypothesis when the function L is time-periodic. This is a joint work with: H. Dehling, T. Kott, R. Kulperger *訪台期間接受中央研究院、國科會理論科學中心及中央大學部分補助