driftinterval
Drift interval is a term used in time-series analysis and stochastic modeling to denote a specific time window over which the deterministic trend, or drift, of a process is defined or estimated. It is often employed in models that allow the drift parameter to vary with time, such as piecewise-constant drift models or regimes determined by change points. In such settings the evolution of the process X_t on a time interval I = [t0, t1] is described by a stochastic differential equation or a discrete-time analog with a constant drift mu_I within that interval, while other parameters such as volatility may be held constant or allowed to vary.
In continuous time, a common formulation on an interval I is dX_t = mu_I dt + sigma dW_t
Applications include finance for short-term return trends, physics for particles under varying forces, and ecology or