05-02-2025
The Center of Mathematics and Applications (NOVA Math), promote the Seminar of Statistics and Risk Management with the title: “On Generalized Mean Reverting Processes with Possible Structural Change". Yunhong Lyu (Trent University, Peterborough, Canada) is the speaker.
Abstract: In this presentation, we address the inference problem for the drift parameter in a generalized mean-reverting process, which is well-suited for modeling data exhibiting periodic characteristics. Additionally, we examine the case where linear constraints may be imposed on the drift parameters. We introduce three estimators: the unrestricted estimator, the restricted estimator, and the shrinkage estimator, and evaluate their relative efficiency. Furthermore, we explore change-point detection within this framework. Simulation studies validate the effectiveness of the proposed methods, which are subsequently applied to real-world environmental data. The results highlight the significance of accurate inference and timely change detection in environmental processes. Finally, the proposed methodology is expected to enhance the understanding and management of environmental systems.
Tuesday, 11th February, at 14:00.
