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Change-point problems for coefficients of stochastic differential equations driven by stationary increments processes via parameter estimated standardized U-statistics
by
Shuya Kanagawa
Musashi Institute of Technology, Faculty of Engineering, Tokyo 158-8557, Japan
Coauthors: Ken-ichi Yoshihara
In this paper, extending the results of Gombay and Horvath (1998), we prove limit theorems for the maximum of standardized degenerate U-statistics defined by some absolutely regular sequences of stationary random variables. Applying the results we consider change-point problems for coefficients of stochastic differential equations driven by stationary increments processes.
Date received: February 14, 2008
Copyright © 2008 by the author(s). The author(s) of this document and the organizers of the conference have granted their consent to include this abstract in Atlas Conferences Inc. Document # caws-27.