Volatility change point detection for linear parabolic SPDEs
Fuente:
arXiv
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866909937540530176 |
|---|---|
| author | Tonaki, Yozo Kaino, Yusuke Uchida, Masayuki |
| author_facet | Tonaki, Yozo Kaino, Yusuke Uchida, Masayuki |
| contents | We consider change point detection for the volatility in second order linear parabolic stochastic partial differential equations based on high frequency spatio-temporal data. We give a test statistic to detect changes in the volatility based on change point analysis for diffusion processes and derive the asymptotic null distribution of the test statistic. We also show that the test is consistent. Moreover, we provide some examples and then perform numerical simulations of the proposed test statistic. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2512_01277 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Volatility change point detection for linear parabolic SPDEs Tonaki, Yozo Kaino, Yusuke Uchida, Masayuki Statistics Theory We consider change point detection for the volatility in second order linear parabolic stochastic partial differential equations based on high frequency spatio-temporal data. We give a test statistic to detect changes in the volatility based on change point analysis for diffusion processes and derive the asymptotic null distribution of the test statistic. We also show that the test is consistent. Moreover, we provide some examples and then perform numerical simulations of the proposed test statistic. |
| title | Volatility change point detection for linear parabolic SPDEs |
| topic | Statistics Theory |
| url | https://arxiv.org/abs/2512.01277 |