Browsing 2nd International Conference by Subject "Change point"

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Change point analysis in the generalized Pareto distribution

Mwelu, Susan; Waititu, A.G; Mwita, P.N (Machakos University, 2019-04)

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

Ngure, Josephine Njeri; Waititu, Anthony Gichuhi (Machakos University, 2019-04)

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 ...