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- W1488663753 abstract "We propose a change detection method for the famous Cox--Ingersoll--Ross model. This model is widely used in financial mathematics and therefore detecting a change in its parameters is of crucial importance. 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 time least-squares estimators, and its asymptotic distribution under the no-change hypothesis is that of a Brownian bridge. We prove the asymptotic weak consistence of the test, and derive the asymptotic properties of the change-point estimator under the alternative hypothesis of change at one point in time." @default.
- W1488663753 created "2016-06-24" @default.
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- W1488663753 date "2015-02-25" @default.
- W1488663753 modified "2023-09-27" @default.
- W1488663753 title "Change detection in the Cox-Ingersoll-Ross model" @default.
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