A change detection procedure for an ergodic diffusion process
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics and Probability
Link
http://link.springer.com/article/10.1007/s10463-016-0564-y/fulltext.html
Reference25 articles.
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3. Csörgő, M., Horváth, L. (1997). Limit theorems in change-point analysis. Wiley series in probability and statistics. Chichester: Wiley.
4. De Gregorio, A., Iacus, S. M. (2008). Least squares volatility change point estimation for partially observed diffusion processes. Communications in Statistics-Theory and Methods, 37(15), 2342–2357.
5. Dehling, H., Franke, B., Kott, T., Kulperger, R. (2014). Change point testing for the drift parameters of a periodic mean reversion process. Statistical Inference for Stochastic Processes, 17(1), 1–18.
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