Estimation and testing in multivariate generalized Ornstein-Uhlenbeck processes with change-points (Q6133723)
From MaRDI portal
scientific article; zbMATH DE number 7730302
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation and testing in multivariate generalized Ornstein-Uhlenbeck processes with change-points |
scientific article; zbMATH DE number 7730302 |
Statements
Estimation and testing in multivariate generalized Ornstein-Uhlenbeck processes with change-points (English)
0 references
21 August 2023
0 references
asymptotic property
0 references
drift-parameter matrix
0 references
James-Stein estimators
0 references
multiple change-points
0 references
multivariate mean-reverting
0 references
testing
0 references
shrinkage estimators
0 references
SDE
0 references
Wiener process
0 references
