1 citations · 1 across the 2 of their papers we have counts for
2 papers
stat.ME2016★ 1 cited
Estimation of multiple change points under a generalised Ornstein-Uhlenbeck framework
Fuqi Chen, Rogemar Mamon, Matt Davison
The use of an Ornstein-Uhlenbeck (OU) process is ubiquitous in business, economics and finance to capture various price processes and evolution of economic indicators exhibiting me…
math.ST2016
Determination of a structural break in a mean-reverting process
Fuqi Chen, Rogemar Mamon, Severien Nkurunziza
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 equival…