Estimation for the change point of the volatility in a stochastic differential equation

17 June 2009

Papers citing "Estimation for the change point of the volatility in a stochastic differential equation"

10 / 10 papers shown

Title
Parametric change point detection with random occurrence of the change point Cassandra Milbradt 19 0 0 06 Jul 2022
Change point inference in ergodic diffusion processes based on high frequency data Yozo Tonaki Masayuki Uchida 11 1 0 23 Apr 2021
Estimation for change point of discretely observed ergodic diffusion processes Yozo Tonaki Yusuke Kaino Masayuki Uchida 27 2 0 13 Feb 2021
Forecasting asylum-related migration flows with machine learning and data at scale Marcello Carammia S. Iacus T. Wilkin 39 54 0 09 Nov 2020
Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations Yozo Tonaki Yusuke Kaino Masayuki Uchida 10 3 0 29 Apr 2020
Robust test for dispersion parameter change in discretely observed diffusion processes Junmo Song 13 11 0 28 Jun 2019
Empirical $L^2$ -distance test statistics for ergodic diffusions A. De Gregorio S. Iacus 49 4 0 15 Jan 2018
Nonparametric change-point analysis of volatility M. Bibinger M. Jirak Mathias Vetter 60 16 0 30 Jan 2015
Moment convergence of $Z$ -estimators and $Z$ -process method for change point problems I. Negri Y. Nishiyama 46 0 0 29 Jun 2012
Inference for SDE models via Approximate Bayesian Computation Umberto Picchini 192 71 0 24 Apr 2012