Inference problem in generalized fractional Ornstein-Uhlenbeck processes with change-point
DOI10.3150/20-BEJ1230zbMath1472.62081OpenAlexW3109636324MaRDI QIDQ2214238
Publication date: 7 December 2020
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.bj/1605841238
testingshrinkage estimatorschange-pointfractional Ornstein-Uhlenbeck processdrift-parameterfractional mean-reverting process
Nonparametric hypothesis testing (62G10) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)
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