Estimation and testing in generalized mean-reverting processes with change-point

DOI10.1007/s11203-016-9151-3OpenAlexW2549066937MaRDI QIDQ1744228

Sévérien Nkurunziza, Pei Patrick Zhang

Publication date: 16 April 2018

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-016-9151-3

zbMATH Keywords

testingshrinkage estimatorschange-pointmean-reverting processSDEADRunrestricted estimatordrift-parameterOrnstein-Uhleneck process

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

Related Items (5)

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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Estimating restricted structural change models
• On frequency estimation for a periodic ergodic diffusion process
• Optimal method in multiple regression with structural changes
• Monitoring parameter change in AR\((p)\) time series models
• On preliminary test and shrinkage M-estimation in linear models
• Statistical inference for ergodic diffusion processes.
• Drift estimation for a periodic mean reversion process
• Estimating discontinuous periodic signals in a time inhomogeneous diffusion
• Change point testing for the drift parameters of a periodic mean reversion process
• The risk of pretest and shrinkage estimators
• Change detection in linear regression with time series errors
• Shrinkage strategies in some multiple multi-factor dynamical systems
• A Family of Minimax Estimators of the Mean of a Multivariate Normal Distribution
• Changepoints in the North Atlantic Tropical Cyclone Record
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• Shrinkage drift parameter estimation for multi‐factor Ornstein–Uhlenbeck processes
• Simple linear regression with multiple level shifts
• Theory of Preliminary Test and Stein‐Type Estimation With Applications

This page was built for publication: Estimation and testing in generalized mean-reverting processes with change-point