Change point testing for the drift parameters of a periodic mean reversion process (Q2450915): Difference between revisions

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+Herold G. Dehling
@@ Property / author: Herold G. Dehling / rank @@
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+Reg J. Kulperger
@@ Property / author: Reg J. Kulperger / rank @@
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+MaRDI publication profile
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+W2072982253
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+.0610
@@ Property / arXiv ID: 1211.0610 / rank @@
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@@ Property / cites work @@
+Sequential change-point detection in continuous time when the post-change drift is unknown
+Normal rank
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+Q5293978
@@ Property / cites work: Q5293978 / rank @@
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+Q4348180
@@ Property / cites work: Q4348180 / rank @@
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@@ Property / cites work @@
+Testing for a change in the parameter values and order of an autoregressive model
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@@ Property / cites work @@
+Drift estimation for a periodic mean reversion process
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@@ Property / cites work @@
+Q3721531
@@ Property / cites work: Q3721531 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating discontinuous periodic signals in a time inhomogeneous diffusion
+Normal rank
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+The maximum likelihood method for testing changes in the parameters of normal observations
+Normal rank
@@ Property / cites work @@
+Almost sure invariance principles for partial sums of mixing B-valued random variables
+Normal rank
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+Statistical inference for ergodic diffusion processes.
+Normal rank
@@ Property / cites work @@
+Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators
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@@ Property / cites work @@
+Q4139359
@@ Property / cites work: Q4139359 / rank @@
+Normal rank
@@ Property / cites work @@
+Strong approximations and sequential change-point analysis for diffusion processes
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+Asymptotically distribution free test for parameter change in a diffusion process model
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@@ Property / cites work @@
+Sequential analysis. Tests and confidence intervals
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+Using the generalized likelihood ratio statistic for sequential detection of a change-point
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