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math.ST2019
Test for parameter change in the presence of outliers: the density power divergence based approach
Junmo Song, Jiwon Kang
This study considers the problem of testing for a parameter change in the presence of outliers. For this, we propose a robust test using the objective function of minimum density p…
math.ST2019
Robust test for dispersion parameter change in discretely observed diffusion processes
Junmo Song
This paper deals with the problem of testing for dispersion parameter change in discretely observed diffusion processes when the observations are contaminated by outliers. To lesse…