Sequential change-point detection for generalized Ornstein-Uhlenbeck processes
Statistics Theory
2025-12-30 v1 Statistics Theory
Abstract
In this article, we study sequential change-point methods for discretely observed generalized Ornstein-Uhlenbeck processes with periodic drift. Two detection methods are proposed, and their respective performance is studied through numerical experiments for several choices of parameters.
Cite
@article{arxiv.2512.22412,
title = {Sequential change-point detection for generalized Ornstein-Uhlenbeck processes},
author = {Yunhong Lyu and Bouchra R. Nasri and Bruno N. Rémillard},
journal= {arXiv preprint arXiv:2512.22412},
year = {2025}
}