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  • Search: subject:"Linear drift"
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Year of publication
Subject
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Change-point detection 2 Linear drift 2 Poisson distribution 2 Statistical process control 2 Time series analysis 2 Zeitreihenanalyse 2 Bellman equation 1 Bessel process with linear drift 1 CIR-interest rates 1 Estimation 1 Estimation theory 1 Large deviations control 1 Long-term investment 1 Option pricing theory 1 Optionspreistheorie 1 Risk-sensitive stochastic control 1 Schätztheorie 1 Schätzung 1 Statistical distribution 1 Statistical quality control 1 Statistical test 1 Statistical theory 1 Statistische Methodenlehre 1 Statistische Qualitätskontrolle 1 Statistische Verteilung 1 Statistischer Test 1 Stochastic process 1 Stochastischer Prozess 1 Theorie 1 Theory 1 Volatility 1 Volatilität 1 constant elasticity variance (CEV) 1 damping function 1 linear drift 1 nonaffine stochastic volatility model 1 nonlinear drift 1
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Undetermined 3
Type of publication
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Article 4
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 2 Undetermined 2
Author
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He, Feng 2 Shu, Lianjie 2 Tsui, Kwok-Leung 2 Hata, Hiroaki 1 Hung, Mao-Wei 1 Ko, Yi-Chen 1 Wang, Jr-Yan 1
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Published in...
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Asia-Pacific Financial Markets 1 International Journal of Production Economics 1 International journal of production economics 1 Journal of financial econometrics 1
Source
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ECONIS (ZBW) 2 RePEc 2
Showing 1 - 4 of 4
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An application of damped diffusion for modeling volatility dynamics
Hung, Mao-Wei; Ko, Yi-Chen; Wang, Jr-Yan - In: Journal of financial econometrics 21 (2023) 3, pp. 779-809
Persistent link: https://www.econbiz.de/10014314820
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Adaptive CUSUM charts for monitoring linear drifts in Poisson rates
He, Feng; Shu, Lianjie; Tsui, Kwok-Leung - In: International Journal of Production Economics 148 (2014) C, pp. 14-20
There has been relatively less attention paid to the monitoring of linear drifts in Poisson rates. Although the conventional CUSUM charts can be used for monitoring linear drifts in Poisson rates, they often rely on the assumption of a known parameter. To get rid of this assumption, this paper...
Persistent link: https://www.econbiz.de/10010729609
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Cover Image
Adaptive CUSUM charts for monitoring linear drifts in Poisson rates
He, Feng; Shu, Lianjie; Tsui, Kwok-Leung - In: International journal of production economics 148 (2014), pp. 14-20
Persistent link: https://www.econbiz.de/10010251556
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“Down-Side Risk” Probability Minimization Problem with Cox-Ingersoll-Ross’s Interest Rates
Hata, Hiroaki - In: Asia-Pacific Financial Markets 18 (2011) 1, pp. 69-87
Persistent link: https://www.econbiz.de/10008926411
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