We consider a multidimensional It\^o process with some unknown drift coefficient process and volatility coefficient with covariate process , the function being known up to . For this model we consider a change point problem for the parameter in the volatility component. The change is supposed to occur at some point . Given discrete time observations from the process , we propose quasi-maximum likelihood estimation of the change point. We present the rate of convergence of the change point estimator and the limit thereoms of aymptotically mixed type.
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