Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting

DOI10.1007/s10463-017-0610-4zbMath1404.62084OpenAlexW2531934726MaRDI QIDQ1656864

Fuqi Chen, Sévérien Nkurunziza, Rogemar S. Mamon

Publication date: 10 August 2018

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-017-0610-4

zbMATH Keywords

maximum likelihoodconsistent estimatorsequential analysisexistence of change pointleast sum of squared errors

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

Related Items (6)

Estimation and testing in multivariate generalized Ornstein-Uhlenbeck processes with change-points ⋮ Inference in generalized exponential O-U processes with change-point ⋮ Inference in generalized exponential O-U processes ⋮ Inference problem in generalized fractional Ornstein-Uhlenbeck processes with change-point ⋮ Inference in a multivariate generalized mean-reverting process with a change-point ⋮ Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation

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