Change detection in the Cox-Ingersoll-Ross model

DOI10.1515/strm-2015-0008zbMath1347.62181arXiv1502.07102OpenAlexW2962777629MaRDI QIDQ308414

Gyula Pap, Tamás T. Szabó

Publication date: 6 September 2016

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1502.07102

zbMATH Keywords

Brownian bridgechange detectionCox-Ingersoll-Ross process

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Functional limit theorems; invariance principles (60F17) Markov processes: hypothesis testing (62M02)

Related Items (1)

Change detection in the Cox-Ingersoll-Ross model

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