Inference for a mean-reverting stochastic process with multiple change points

DOI10.1214/17-EJS1282zbMath1364.60045MaRDI QIDQ2396344

Matt Davison, Fuqi Chen, Rogemar S. Mamon

Publication date: 8 June 2017

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

Full work available at URL: https://projecteuclid.org/euclid.ejs/1495504915

zbMATH Keywords

Ornstein-Uhlenbeck processmaximum likelihoodconsistent estimatorsequential analysisleast sum of squared errorsPELT algorithmsegment neighbourhood search method

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes (62M99) Generalized stochastic processes (60G20)

Related Items (4)

Improved estimation in tensor regression with multiple change-points ⋮ Estimation and testing in multivariate generalized Ornstein-Uhlenbeck processes with change-points ⋮ Parameter least-squares estimation for time-inhomogeneous Ornstein-Uhlenbeck process ⋮ Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation

This page was built for publication: Inference for a mean-reverting stochastic process with multiple change points