Estimation and testing in multivariate generalized Ornstein-Uhlenbeck processes with change-points

DOI10.1007/s13171-021-00251-6OpenAlexW3204689067MaRDI QIDQ6133723

Sévérien Nkurunziza

Publication date: 21 August 2023

Published in: Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13171-021-00251-6

zbMATH Keywords

Wiener processtestingshrinkage estimatorsasymptotic propertySDEmultiple change-pointsJames-Stein estimatorsdrift-parameter matrixmultivariate mean-reverting

Mathematics Subject Classification ID

Parametric inference under constraints (62F30) Markov processes: hypothesis testing (62M02)

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