Inference in a multivariate generalized mean-reverting process with a change-point
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Publication:1984652
DOI10.1007/s11203-019-09204-1zbMath1441.62144OpenAlexW2965828964MaRDI QIDQ1984652
Publication date: 7 April 2020
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11203-019-09204-1
asymptotic normalityBrownian motiontestingshrinkage estimatorschange-pointSDEmultivariate Ornstein-Uhlenbeck processdrift-parameter
Estimation in multivariate analysis (62H12) Markov processes: estimation; hidden Markov models (62M05) Brownian motion (60J65)
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