full title: Z-process method for change point problems: some applications in diffusion processes and in linear time series

The seminar takes place in presence and online via teams.

abstract: The Z-process method was introduced as a general unified approach based on partial estimation functions to construct test statistics for a broad spectrum of statistical change point problems. The method can test for change in any of the parameters of the model simultaneously. We study the asymptotic distribution of the test statistics under the null hypothesis and under a very general alternative. Applications of the method to change point problems for diffusion processes are presented, both for ergodic models and also for some models where the Fisher information matrix is random. Moreover, the problem of testing for parameter changes in linear time series models is also considered. Some simulated studies are presented for both the models.