StatGOU: Change-point tests for generalized Ornstein-Uhlenbec (GOU)...

In GenOU: Sequential Change-Point Tests for Generalized Ornstein-Uhlenbeck Processes

Change-point tests for generalized Ornstein-Uhlenbec (GOU) process

Description

Function to simulate exact N+K+1 values with change point after N+K_star, with K_star = floor(N*t_star), for a GOU process. Starting point is 0.

Usage

StatGOU(X, T1, N, p, q, gamma, c1, cd)

Arguments

X	observations
T1	last time of observation
N	number of observations on from on interval (0,T1]
p	number of cosine coefficients >=1
q	number of sine coefficients >=0
gamma	weight parameter >=0 and < 0.5
c1	critical value for Q stat (based on 1-dimensional weigthed BM)
cd	critical value for G stat (based on d-dimensional weigthed BM), where d = p+q+1 is the number of estimated parameters for the drift.

Value

out

List

References

Lyu, Nasri and Remillard (2025): Sequential Change-point Detection with Generalized Ornstein–Uhlenbeck Processes

Examples

T1=20
N=500
gamma = 0.1
p=2
q=0
c1 = 2.2838 # corresponding to gamma=0.1
c3 = 3.0502 # corresponding to gamma=0.1 and d=3 estimated parameters for the drift
data(X)
out=StatGOU(X,T1,N,p,q,gamma,c1,c3)

GenOU documentation built on Aug. 28, 2025, 9:09 a.m.