Drift estimation for a periodic mean reversion process
نویسندگان
چکیده
منابع مشابه
Change Point Testing for the Drift Parameters of a Periodic Mean Reversion Process
The problem of testing for a change in the parameters of a stochastic process has been an important issue in statistical inference for a long time. Initially investigated for i.i.d. data, change point analysis has more recently been extended to time series of dependent data. For a general review of change-point analysis, see e.g. the book by Csörgő and Horvath [4]. In the present paper, we inve...
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ژورنال
عنوان ژورنال: Statistical Inference for Stochastic Processes
سال: 2010
ISSN: 1387-0874,1572-9311
DOI: 10.1007/s11203-010-9045-8