Estimation and testing in generalized mean-reverting processes with change-point

DOI10.1007/S11203-016-9151-3MaRDI QIDQ1744228zbMATH OpenOpenAlexFDO

Authors Sévérien Nkurunziza, Pei Patrick Zhang

Publication date 16 April 2018

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

Full work available at URL https://doi.org/10.1007/s11203-016-9151-3

zbMATH Keywords

shrinkage estimatorstestingchange-pointmean-reverting processSDEADRunrestricted estimatordrift-parameterOrnstein-Uhleneck process

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

Cites work

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Cited in

(8)

• Testing for mean reversion in processes of Ornstein-Uhlenbeck type
• Estimation and testing in multivariate generalized Ornstein-Uhlenbeck processes with change-points
• Inference problem in generalized fractional Ornstein-Uhlenbeck processes with change-point
• Inference in generalized exponential O-U processes with change-point
• Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting
• Inference in generalized exponential O-U processes
• Inference in a multivariate generalized mean-reverting process with a change-point
• Inference for a mean-reverting stochastic process with multiple change points

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