Search
Now showing items 1-2 of 2
Change point analysis in the generalized Pareto distribution
(MksU Press, 2021-06)
The general goal of data statistical analysis is to find a near perfect translation to reality such that
minimal information is lost in the approximating model. In this paper change point problem is
viewed as a model ...
Change Point Estimation in Volatility of a Time series using a Kolmogorov Smirnov Type Test Statistic
(MksU Press, 2021-06)
Detection of structural change in volatility of a time series is very important for understanding
volatility dynamics and the stylized facts observed in financial time series. By applying the
Nadaraya Watson kernel ...