منابع مشابه
Bayesian Estimation of Change-Point in Unobserved-ARCH Models
Change-point problem deals with sudden change in the distribution of a set of given data. Change in financial time series is a common event, because many factors for example some news, etc. may affect the series and cause change. In this work, we intend to detect the time of change-point, using Bayesian methods in Unobserved-ARCH models. We estimate the model and the time of the change-point.
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the problems of sequential change-point have several important applications in quality control, signal processing, and failure detection in industry and finance. we discuss a bayesian approach in the context of statistical process control: at an unknown time $tau$, the process behavior changes and the distribution of the data changes from p0 to p1. two cases are considered: (i) p0 and p1 are fu...
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The emergence of the recent financial crisis, during which markets frequently underwent changes in their statistical structure over a short period of time, illustrates the importance of non-stationary modelling in financial time series. Motivated by this observation, we propose a fast, well-performing and theoretically tractable method for detecting multiple change-points in the structure of an...
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ژورنال
عنوان ژورنال: Communications for Statistical Applications and Methods
سال: 2006
ISSN: 2287-7843
DOI: 10.5351/ckss.2006.13.3.491