Estimation of change point for switching fractional diffusion processes

DOI10.1080/17442508.2013.802791MaRDI QIDQ2875276zbMATH OpenOpenAlexFDO

Authors B. L. S. Prakasa Rao, Mahendra Nath Mishra

Publication date 14 August 2014

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2013.802791

zbMATH Keywords

change pointfractional Brownian motionfractional diffusion processesmaximum likelihood estimator

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Inference from stochastic processes and fuzziness (62M86)

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Cites work

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Cited in

(12)

• Discretely observing a white noise change-point model in the presence of blur
• Maximum likelihood estimation for the drift parameter in diffusion processes
• Least Squares Volatility Change Point Estimation for Partially Observed Diffusion Processes
• Change‐Point Estimation of Fractionally Integrated Processes
• Parametric estimation for cusp-type signal driven by fractional Brownian motion
• Estimation for change point of discretely observed ergodic diffusion processes
• Estimation for misspecification when theoretical model for signal is smooth but real signal is of cusp-type and driven by a fractional Brownian motion
• Fractional processes and their statistical inference: an overview
• Change point in variance of fractionally integrated noise
• Estimation for a misspecified change point type signal driven by a fractional Brownian motion
• On a multi-channel change-point problem
• Estimation for the change point of volatility in a stochastic differential equation

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