Preliminary test and estimation in some multifactor diffusion processes

DOI10.1007/S13171-013-0026-ZzbMATH Open1273.62198OpenAlexW2129016899MaRDI QIDQ369390FDOQ369390

Authors: Sévérien Nkurunziza 

Publication date: 24 September 2013

Published in: Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13171-013-0026-z

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zbMATH Keywords

pretest estimatorMLEasymptotic distributional riskStein-rule

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Estimation in multivariate analysis (62H12) Diffusion processes and stochastic analysis on manifolds (58J65)

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• Shrinkage drift parameter estimation for multi-factor Ornstein-Uhlenbeck processes
• Shrinkage estimation for the difference between a control and treatment mean
• On the Distribution of General Quadratic Functions in Normal Vectors

Cited In (1)

• Estimation and testing in multivariate generalized Ornstein-Uhlenbeck processes with change-points

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