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detection of changes 1 logarithmic moment estimators 1 multi-CUSUM charts 1 random sequence with stable distribution 1
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Han, Dong 1 Li, Yanting 1 Tsung, Fugee 1 Xian, Jinguo 1
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Journal of Applied Statistics 1
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Did you mean: subject:"direction of change" (19 results)
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Detection of changes in a random financial sequence with a stable distribution
Han, Dong; Tsung, Fugee; Li, Yanting; Xian, Jinguo - In: Journal of Applied Statistics 37 (2010) 7, pp. 1089-1111
Quick detection of unanticipated changes in a financial sequence is a critical problem for practitioners in the finance industry. Based on refined logarithmic moment estimators for the four parameters of a stable distribution, this article presents a stable-distribution-based multi-CUSUM chart...
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