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

DOI10.1007/S11203-023-09293-ZMaRDI QIDQ6155081zbMATH OpenOpenAlexFDO

Authors Yunhong Lyu, Sévérien Nkurunziza

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 normalitychange-point detectiondrift parameterGEOU processrandom dimensionsrelative efficiency

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

Cites work

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

Cited in

(1)

• Estimating and pretesting in additive censored models

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