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Change point inference in ergodic diffusion processes based on high frequency data - MaRDI portal

Change point inference in ergodic diffusion processes based on high frequency data

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Publication:6365943

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DOI10.1016/J.SPA.2022.12.011arXiv2104.11438MaRDI QIDQ6365943

Masayuki Uchida, Yozo Tonaki

Publication date: 23 April 2021

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Markov processes: hypothesis testing (62M02)

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