Estimation and Testing in Multivariate Generalized Ornstein-Uhlenbeck Processes with Change-Points
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DOI: 10.1007/s13171-021-00251-6
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Keywords
Asymptotic property; Drift-parameter matrix; James-Stein estimators; Multiple change-points; Multivariate mean-reverting; Testing; Shrinkage estimators; SDE; Wiener process.;All these keywords.
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