Inference for a change‐point problem under an OU setting with unequal and unknown volatilities

DOI10.1002/cjs.11522zbMath1492.62128OpenAlexW2971874720WikidataQ127301349 ScholiaQ127301349MaRDI QIDQ5107620

Fuqi Chen, Sévérien Nkurunziza, Rogemar S. Mamon

Publication date: 28 April 2020

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cjs.11522

zbMATH Keywords

consistent estimatorasymptotic propertyfinancial modellingiterative weighted least sum of squared errorsoil spot price

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

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