Change Point Testing for the Drift Parameters of a Periodic Mean Reversion Process

Herold Dehling; Brice Franke; Thomas Kott; Reg Kulperger

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arXiv · 1211.0610

Change Point Testing for the Drift Parameters of a Periodic Mean Reversion Process

Herold Dehling·Brice Franke·Thomas Kott·Reg Kulperger

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Abstract

In this paper we investigate the problem of detecting a change in the drift parameters of a generalized Ornstein-Uhlenbeck process which is defined as the solution of $dX_t=(L(t)-αX_t) dt + σdB_t$, and which is observed in continuous time. We derive an explicit representation of the generalized likelihood ratio test statistic assuming that the mean reversion function $L(t)$ is a finite linear combination of known basis functions. In the case of a periodic mean reversion function, we determine the asymptotic distribution of the test statistic under the null hypothesis.

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Herold Dehling, Brice Franke, Thomas Kott, Reg Kulperger. 2013-11-12. Change Point Testing for the Drift Parameters of a Periodic Mean Reversion Process. https://arxiv.org/abs/1211.0610

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