Estimation and testing in generalized mean-reverting processes with change-point
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DOI: 10.1007/s11203-016-9151-3
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Cited by:
- Sévérien Nkurunziza, 2023. "Estimation and Testing in Multivariate Generalized Ornstein-Uhlenbeck Processes with Change-Points," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 351-400, February.
- Yunhong Lyu & Sévérien Nkurunziza, 2023. "Inference in generalized exponential O–U processes," Statistical Inference for Stochastic Processes, Springer, vol. 26(3), pages 581-618, October.
- Sévérien Nkurunziza & Lei Shen, 2020. "Inference in a multivariate generalized mean-reverting process with a change-point," Statistical Inference for Stochastic Processes, Springer, vol. 23(1), pages 199-226, April.
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Keywords
ADR; Change-point; Drift-parameter; Mean-reverting process; Ornstein–Uhleneck process; Testing; SDE; Shrinkage estimators; Unrestricted estimator;All these keywords.
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