Inference in generalized exponential O–U processes with change-point-Reference-Cited by-同舟云学术

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Inference in generalized exponential O–U processes with change-point

Published:2023-09-01 Issue: Volume: Page:
ISSN:1387-0874
Container-title:Statistical Inference for Stochastic Processes
language:en
Short-container-title:Stat Inference Stoch Process

Author:

Lyu Yunhong,Nkurunziza Sévérien

Funder

Natural Sciences and Engineering Research Council of Canada

Publisher

Springer Science and Business Media LLC

Subject

Statistics and Probability

Link

https://link.springer.com/content/pdf/10.1007/s11203-023-09293-z.pdf

Reference9 articles.

1. Chen F, Mamon R, Nkurunziza S (2018) Inference for a change-point problem under a generalised Ornstein–Uhlenbeck setting. Ann Inst Stat Math 70(4):807–853

2. Chen F, Mamon R, Nkurunziza S (2020) Inference for a change-point problem under an OU setting with unequal and unknown volatilities. Can J Stat 48(1):62–78

3. Chen S (2010) Modelling the dynamics of commodity prices for investment decisions under uncertainty. PhD thesis, University of Waterloo

4. Dehling H, Franke B, Kott T (2010) Drift estimation for a periodic mean reversion process. Stat Infer Stoch Process 13(3):175–192

5. Dehling H, Franke B, Kott T, Klperger R (2014) Change point testing for the drift parameters of a periodic mean reversion process. Stat Infer Stoch Process 17:1–18

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