Inference in generalized exponential O-U processes with change-point

DOI10.1007/S11203-023-09293-ZOpenAlexW4386396717MaRDI QIDQ6155081

Sévérien Nkurunziza, Yunhong Lyu

Publication date: 16 February 2024

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-023-09293-z

zbMATH Keywords

asymptotic normalityrelative efficiencychange-point detectiondrift parameterGEOU processrandom dimensions

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

Cites Work

• Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting
• Estimation and testing in generalized mean-reverting processes with change-point
• Drift estimation for a periodic mean reversion process
• Change point testing for the drift parameters of a periodic mean reversion process
• Inference for a change‐point problem under an OU setting with unequal and unknown volatilities

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