Determination of a structural break in a mean-reverting process

30 May 2017 Chen Fuqi Mamon Rogemar Nkurunziza Severien

Determining accurately when regime and structural changes occur in various time-series data is critical in many social and natural sciences. We develop and show further the equivalence of two consistent estimation techniques in locating the change point under the framework of a generalised version of the Ornstein-Uhlehnbeck process... (read more)

PDF Abstract
No code implementations yet. Submit your code now

Categories


  • STATISTICS THEORY
  • STATISTICS THEORY