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ArticleChange point testing for the drift parameters of a periodic mean reversion process

Herold Dehling2014

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Articlegreen2014

Change point testing for the drift parameters of a periodic mean reversion process

Herold Dehling · Brice Franke · Thomas Kott · Reg J. Kulperger

16 citations·0/0 files stored·Statistical Inference for Stochastic Processes

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Advanced Statistical Process Monitoring Probability and Statistical Research Stochastic processes and financial applications

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References

1997Limit theorems in change-point analysis 1995Using the Generalized Likelihood Ratio Statistic for Sequential Detection of a Change-Point 1993The Maximum Likelihood Method for Testing Changes in the Parameters of Normal Observations 1995Testing for a Change in the Parameter Values and Order of an Autoregressive Model 2006Test for Parameter Change in Diffusion Processes by Cusum Statistics Based on One-step Estimators 2010Drift estimation for a periodic mean reversion process

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2016Estimation and testing in generalized mean-reverting processes with change-point 2017Inference for a change-point problem under a generalised Ornstein–Uhlenbeck setting

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2014Extensions of some classical methods in change point analysisarticle · 3 shared references 2006On the detection of changes in autoregressive time series I. Asymptoticsarticle · 3 shared references 2007Testing for change points in time series models and limiting theorems for NED sequencespreprint · 3 shared references 2010Change-Point Problems: Bibliography and Reviewarticle · 3 shared references 2002Off-Line Statistical Process Controlchapter · 3 shared references 2011Testing for structural change of AR model to threshold AR modelarticle · 3 shared references

Details

Year2014

Typearticle

Published2014-03-06

VenueStatistical Inference for Stochastic Processes

ISSN-L1387-0874

Languageen

Citations16

Files0 public / 0

ShelfAdvanced Statistical Process Monitoring

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doi10.1007/s11203-014-9092-7

openalex_workW2072982253

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