Sequential change-point detection for generalized Ornstein-Uhlenbeck processes
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arXiv
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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2025
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| _version_ | 1866918264470241280 |
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| author | Lyu, Yunhong Nasri, Bouchra R. Rémillard, Bruno N. |
| author_facet | Lyu, Yunhong Nasri, Bouchra R. Rémillard, Bruno N. |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2512_22412 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Sequential change-point detection for generalized Ornstein-Uhlenbeck processes Lyu, Yunhong Nasri, Bouchra R. Rémillard, Bruno N. Statistics Theory 60J60, 60F05 (Primary) 62L10 (Secondary) 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. |
| title | Sequential change-point detection for generalized Ornstein-Uhlenbeck processes |
| topic | Statistics Theory 60J60, 60F05 (Primary) 62L10 (Secondary) |
| url | https://arxiv.org/abs/2512.22412 |