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
Ornstein-Uhlenbeck processmaximum likelihoodconsistent estimatorsequential analysisleast sum of squared errorsPELT algorithmsegment neighbourhood search method
Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes (62M99) Generalized stochastic processes (60G20)
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