English
Related papers

Related papers: Change Point Testing for the Drift Parameters of a…

200 papers

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…

Statistics Theory · Mathematics 2025-12-30 Yunhong Lyu , Bouchra R. Nasri , Bruno N. Rémillard

We refer by threshold Ornstein-Uhlenbeck to a continuous-time threshold autoregressive process. It follows the Ornstein-Uhlenbeck dynamics when above or below a fixed level, yet at this level (threshold) its coefficients can be…

Probability · Mathematics 2022-06-07 Sara Mazzonetto , Paolo Pigato

We construct a least squares estimator for the drift parameters of a fractional Ornstein Uhlenbeck process with periodic mean function and long range dependence. For this estimator we prove consistency and asymptotic normality. In contrast…

Statistics Theory · Mathematics 2015-09-11 Herold Dehling , Brice Franke , Jeannette H. C. Woerner

We consider a reflected Ornstein-Uhlenbeck process $X$ driven by a fractional Brownian motion with Hurst parameter $H\in (0, \frac12) \cup (\frac12, 1)$. Our goal is to estimate an unknown drift parameter $\alpha\in (-\infty,\infty)$ on the…

Statistics Theory · Mathematics 2015-03-24 Chihoon Lee , Jian Song

We consider the fractional Ornstein-Uhlenbeck process with an unknown drift parameter and known Hurst parameter $H$. We propose a new method to test the hypothesis of the sign of the parameter and prove the consistency of the test. Contrary…

Probability · Mathematics 2016-04-12 Alexander Kukush , Yuliya Mishura , Kostiantyn Ralchenko

In this paper, we investigate the parameter estimation for threshold Ornstein$\mathit{-}$Uhlenbeck processes. Least squares method is used to obtain continuous-type and discrete-type estimators for the drift parameters based on continuous…

Statistics Theory · Mathematics 2024-03-28 Yuecai Han , Dingwen Zhang

Assuming that a reflected Ornstein-Uhlenbeck state process is observed at discrete time instants, we propose generalized moment estimators to estimate all drift and diffusion parameters via the celebrated ergodic theorem. With the sampling…

Statistics Theory · Mathematics 2020-09-14 Yaozhong Hu , Yuejuan Xi

This paper addresses the problem of estimating drift parameter of the Ornstein - Uhlenbeck type process, driven by the sum of independent standard and fractional Brownian motions. The maximum likelihood estimator is shown to be consistent…

Probability · Mathematics 2018-08-03 Pavel Chigansky , Marina Kleptsyna

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…

Statistics Theory · Mathematics 2017-05-31 Fuqi Chen , Rogemar Mamon , Severien Nkurunziza

In the common time series model $X_{i,n} = \mu (i/n) + \varepsilon_{i,n}$ with non-stationary errors we consider the problem of detecting a significant deviation of the mean function $\mu$ from a benchmark $g (\mu )$ (such as the initial…

Statistics Theory · Mathematics 2020-05-25 Holger Dette , Florian Heinrichs

We consider the adaptive test for the parameter change in discretely observed ergodic diffusion processes based on the cusum test. Using two test statistics based on the two quasi-log likelihood functions of the diffusion parameter and the…

Statistics Theory · Mathematics 2020-04-30 Yozo Tonaki , Yusuke Kaino , Masayuki Uchida

We consider the problem of estimation of the drift parameter of an ergodic Ornstein--Uhlenbeck type process driven by a L\'evy process with heavy tails. The process is observed continuously on a long time interval $[0,T]$, $T\to\infty$. We…

Statistics Theory · Mathematics 2019-11-27 Alexander Gushchin , Ilya Pavlyukevich , Marian Ritsch

In this paper, we consider the problem of statistical inference for generalized Ornstein-Uhlenbeck processes of the type \[ X_{t} = e^{-\xi_{t}} \left( X_{0} + \int_{0}^{t} e^{\xi_{u-}} d u \right), \] where \(\xi_s\) is a L{\'e}vy process.…

Methodology · Statistics 2015-03-12 Denis Belomestny , Vladimir Panov

This paper is devoted to parameter estimation of the mixed fractional Ornstein-Uhlenbeck process with a drift. Large sample asymptotical properties of the Maximum Likelihood Estimator is deduced using the Laplace transform computations or…

Statistics Theory · Mathematics 2021-01-19 Chunhao Cai , Min Zhang

The Ornstein-Uhlenbeck process is interpreted as Brownian motion in a harmonic potential. This Gaussian Markov process has a bounded variance and admits a stationary probability distribution, in contrast to the standard Brownian motion. It…

Statistical Mechanics · Physics 2023-06-07 Pece Trajanovski , Petar Jolakoski , Kiril Zelenkovski , Alexander Iomin , Ljupco Kocarev , Trifce Sandev

It is considered Ornstein-Uhlenbeck process $ x_t = x_0 e^{-\theta t} + \mu (1-e^{-\theta t}) + \sigma \int_0^t e^{-\theta (t-s)} dW_s$, where $x_0 \in R$, $\theta>0$, $ \mu \in R$ and $\sigma > 0$ are parameters. By use values $(z_k)_{k…

Statistics Theory · Mathematics 2016-08-30 Levan Labadze , Gogi Pantsulaia

Consider a periodic, mean-reverting Ornstein-Uhlenbeck process $X=\{X_t,t\geq0\}$ of the form $d X_{t}=\left(L(t)+\alpha X_{t}\right) d t+ dB^H_{t}, \quad t \geq 0$, where $L(t)=\sum_{i=1}^{p}\mu_i\phi_i (t)$ is a periodic parametric…

Probability · Mathematics 2020-09-02 Rachid Belfadli , Khalifa Es-Sebaiy , Fatima-Ezzahra Farah

In this paper, we consider the statistical inference of the drift parameter $\theta$ of non-ergodic Ornstein-Uhlenbeck~(O-U) process driven by a general Gaussian process $(G_t)_{t\ge 0}$. When $H \in (0, \frac 12) \cup (\frac 12,1) $ the…

Statistics Theory · Mathematics 2022-07-28 Yanping Lu

This work delves into presenting a probabilistic method for analyzing linear process data with weakly dependent innovations, focusing on detecting change-points in the mean and estimating its spectral density. We develop a test for…

Statistics Theory · Mathematics 2024-10-01 Ramkrishna Jyoti Samanta

This paper deals with the Local Asymptotical normality for the joint drift parameter and Hurst parameter $H>3/4$ in the mixed fractional Ornstein-Uhlenbeck process. Different from the only estimation of the drift parameter when $H$ is…

Probability · Mathematics 2025-10-21 Chunhao Cai , Cong Zhang
‹ Prev 1 2 3 10 Next ›