Cusum of squares test for discretely observed sample from multidimensional diffusion processes

초록

In this paper, we extend the work by Lee et al. (2010) to multidimensional diffusion processes. A test statistic analogous to the one-dimensional case is proposed to inves-tigate the joint stability of covariance matrix parameters and, under certain regularity conditions, is shown to have a limiting distribution of the sup of a multidimensional Brownian bridge. A simulation result is provided for illustration.

키워드