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Estimation and testing in generalized mean-reverting processes with change-point · Study

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ArticleEstimation and testing in generalized mean-reverting processes with change-point

Sévérien Nkurunziza2016

Article2016

Estimation and testing in generalized mean-reverting processes with change-point

Sévérien Nkurunziza · Pei Patrick Zhang

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

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Advanced Statistical Process Monitoring Stochastic processes and financial applications Statistical Methods and Inference

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References

1977An equilibrium characterization of the term structure 1990Pricing Interest-Rate-Derivative Securities 2005Estimating restricted structural change models 2008Monitoring parameter change in AR ( p ) time series models 2012Changepoint detection in daily precipitation data 2010Drift estimation for a periodic mean reversion process 2009Change detection in linear regression with time series errors 2014Change point testing for the drift parameters of a periodic mean reversion process

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2017Inference for a change-point problem under a generalised Ornstein–Uhlenbeck setting

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Year2016

Typearticle

Published2016-11-17

VenueStatistical Inference for Stochastic Processes

ISSN-L1387-0874

Languageen

Citations13

Files0 public / 0

ShelfAdvanced Statistical Process Monitoring

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doi10.1007/s11203-016-9151-3

openalex_workW2549066937

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