  We deal with the change point problem in ergodic diffusion processes based on
high frequency data. Tonaki et al. (2020, 2021) studied the change point
problem for the ergodic diffusion process model. However, the change point
problem for the drift parameter when the diffusion parameter changes is still
open. Therefore, we consider the change detection and the change point
estimation for the drift parameter taking into account that there is a change
point in the diffusion parameter. Moreover, we examine the performance of the
tests and the estimation with numerical simulations.
