  We treat the change point problem in ergodic diffusion processes from
discrete observations. Tonaki et al. (2020) proposed adaptive tests for
detecting changes in the diffusion and drift parameters in ergodic diffusion
models. When any changes are detected by this method, the next question to be
considered is where the change point is. Therefore, we propose the method to
estimate the change point of the parameter for two cases: the case where there
is a change in the diffusion parameter, and the case where there is no change
in the diffusion parameter but a change in the drift parameter. Furthermore, we
present rates of convergence and distributional results of the change point
estimators. Some examples and simulation results are also given.
