Testing for the change of the mean-reverting parameter of...

Statistical Inference for Stochastic Processes 2020 / 7 Vol. 23; Iss. 2

Testing for the change of the mean-reverting parameter of an autoregressive model with stationary Gaussian noise

Brouste, Alexandre, Cai, Chunhao, Soltane, Marius, Wang, Longmin
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Volume:
23
Journal:
Statistical Inference for Stochastic Processes
DOI:
10.1007/s11203-020-09217-1
Date:
July, 2020
File:
PDF, 1.21 MB
2020
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