Improved inference in generalized mean-reverting processes with multiple change-points

DOI10.1214/19-EJS1548MaRDI QIDQ2414497zbMATH OpenWikidataFDO

Authors Sévérien Nkurunziza, Kang Fu

Publication date 17 May 2019

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.ejs/1555380048

zbMATH Keywords

Ornstein-Uhlenbeck processshrinkage estimatorstestingchange-pointmean-reverting processSDEADRunrestricted estimatordrift-parameter

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Markov processes: hypothesis testing (62M02) Diffusion processes (60J60) Parametric inference under constraints (62F30)

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Cited in

(7)

• Estimation and testing in multivariate generalized Ornstein-Uhlenbeck processes with change-points
• Inference problem in generalized fractional Ornstein-Uhlenbeck processes with change-point
• Asymptotic properties of \(M\)-estimators based on estimating equations and censored data in semi-parametric models with multiple change points
• Inference in a multivariate generalized mean-reverting process with a change-point
• Improved estimation in tensor regression with multiple change-points
• Inference for a mean-reverting stochastic process with multiple change points
• GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS

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