Estimation for change point of discretely observed ergodic diffusion processes-Reference-Cited by-同舟云学术

Estimation for change point of discretely observed ergodic diffusion processes

Published:2022-02-11 Issue:1 Volume:50 Page:142-183
ISSN:0303-6898
Container-title:Scandinavian Journal of Statistics
language:en
Short-container-title:Scandinavian J Statistics

Author:

Tonaki Yozo¹^ORCID,Kaino Yusuke²^ORCID,Uchida Masayuki¹³

Affiliation:

1. Graduate School of Engineering Science Osaka University Toyonaka Osaka Japan

2. Graduate School of Maritime Sciences Kobe University Higashinada‐ku Kobe Japan

3. Graduate School of Engineering Science, and Center for Mathematical Modeling and Date Science Osaka University Toyonaka Osaka Japan

Funder

Japan Science and Technology Agency

Japan Society for the Promotion of Science

Publisher

Wiley

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/sjos.12567

Reference21 articles.

1. Least Squares Volatility Change Point Estimation for Partially Observed Diffusion Processes

2. On the estimation of the diffusion coefficient for multidimensional diffusion processes;Genon‐Catalot V.;Annales de l'Institut Henri Poincaré Probabilités et Statistiques,1993

3. Estimation for the change point of volatility in a stochastic differential equation

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1. Change point inference in ergodic diffusion processes based on high frequency data;Stochastic Processes and their Applications;2023-04

2. Estimation for change point of discretely observed ergodic diffusion processes;Scandinavian Journal of Statistics;2022-02-11