A CUSUM type change detection test based on martingale differences
Fanni Ned\'enyi
TL;DR
This paper introduces a CUSUM-based change detection test utilizing martingale differences to identify parameter shifts in stochastic models.
Contribution
It proposes a novel CUSUM test that leverages martingale difference sequences for more effective change detection in stochastic processes.
Findings
The test effectively detects parameter changes in simulated data.
The method outperforms traditional CUSUM tests in certain scenarios.
The approach is applicable to various parameterized stochastic models.
Abstract
The paper is about detecting changes in the parameters of certain parameterized stochastic models. We apply CUSUM (Cumulated Sums) type test statistics that are based on martingale difference sequences.
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Taxonomy
TopicsFinancial Risk and Volatility Modeling · Probability and Risk Models · Statistical Methods and Inference