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

DOI10.1007/S13171-021-00251-6OpenAlexW3204689067MaRDI QIDQ6133723FDOQ6133723

Authors: Sévérien Nkurunziza 

Publication date: 21 August 2023

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

Full work available at URL: https://doi.org/10.1007/s13171-021-00251-6

zbMATH Keywords

shrinkage estimatorstestingWiener processasymptotic propertySDEmultiple change-pointsJames-Stein estimatorsdrift-parameter matrixmultivariate mean-reverting

Mathematics Subject Classification ID

Markov processes: hypothesis testing (62M02) Parametric inference under constraints (62F30)

Cites Work

• Modern Multivariate Statistical Techniques
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• Title not available (Why is that?)
• Estimating restricted structural change models
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• Shrinkage strategies in some multiple multi-factor dynamical systems
• Preliminary test and estimation in some multifactor diffusion processes
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• Shrinkage drift parameter estimation for multi-factor Ornstein-Uhlenbeck processes
• Estimation and testing in generalized mean-reverting processes with change-point
• Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting
• Inference in a multivariate generalized mean-reverting process with a change-point
• Inference for a mean-reverting stochastic process with multiple change points
• Change point testing for the drift parameters of a periodic mean reversion process
• Improved inference in generalized mean-reverting processes with multiple change-points
• A class of Stein-rules in multivariate regression model with structural changes

Cited In (1)

• Testing of two-dimensional Gaussian processes by sample cross-covariance function

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