Change Point Estimation for Stochastic Differential Equations
A stochastic differential equationdriven by a Brownian motion where the dispersion is determined by a parameter is considered. The parameter undergoes a change at a certain time point. Estimates of the time change point and the parameter, before and after that time, is considered.The estimates were...
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| Format: | Others |
| Language: | English |
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Växjö universitet, Matematiska och systemtekniska institutionen
2009
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:vxu:diva-5748 |