Inference in a multivariate generalized mean-reverting process with a change-point
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s11203-019-09204-1.pdf
Reference24 articles.
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2. Chen F, Mamon R, Nkurunziza S (2018) Inference for a chang-point problem under a generlised Ornstein–Uhlenbeck setting. Ann Inst Stat Math 70(4):807–853
3. Dehling H, Franke B, Kott T (2010) Drift estimation for a periodic mean reversion process. Stat Inference Stoch Process (SISP) 13:175–192
4. Dehling H, Franke B, Kott T, Kulperger R (2014) Change point testing for the drift parameters of a periodic mean reversion process. SISP 17(1):1–18
5. Gombay E (2010) Change detection in linear regression with time series errors. Can J Stat (CJS) 38(1):65–79
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1. Estimation and Testing in Multivariate Generalized Ornstein-Uhlenbeck Processes with Change-Points;Sankhya A;2021-09-28
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