Estimation and testing in multivariate generalized Ornstein-Uhlenbeck processes with change-points
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Cites work
- scientific article; zbMATH DE number 1546853 (Why is no real title available?)
- A class of Stein-rules in multivariate regression model with structural changes
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- Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting
- Inference for a mean-reverting stochastic process with multiple change points
- Inference in a multivariate generalized mean-reverting process with a change-point
- Modern Multivariate Statistical Techniques
- On preliminary test and shrinkage M-estimation in linear models
- Preliminary test and estimation in some multifactor diffusion processes
- Shrinkage drift parameter estimation for multi-factor Ornstein-Uhlenbeck processes
- Shrinkage strategies in some multiple multi-factor dynamical systems
- Theory of Preliminary Test and Stein‐Type Estimation With Applications
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