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 |
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