Essays about: "Change-point estimation"

Found 3 essays containing the words Change-point estimation.

  1. 1. Estimation and bias correction of the magnitude of an abrupt level shift

    University essay from Statistik; Tekniska högskolan

    Author : Wenjie Liu; [2012]
    Keywords : Change-point Detection; Bias Correction; Shrinkage Factor; Level Shift; Generalized Additive Model;

    Abstract : Consider a time series model which is stationary apart from a single shift in mean. If the time of a level shift is known, the least squares estimator of the magnitude of this level shift is a minimum variance unbiased estimator. If the time is unknown, however, this estimator is biased. READ MORE

  3. 2. Revision Moment for the Retail Decision-Making System

    University essay from Högskolan i Halmstad; Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE); Tillämpad matematik och fysik (MPE-lab)

    Author : Agnieszka Beata Juszczuk; Evgeniya Tkacheva; [2010]
    Keywords : Financial Mathematics; Loan origination; Logistic regression model; Change-point problem; Maximum likelihood method; Poisson process; Disorder problem; Non-homogeneous Poisson process; Optimal stopping problem; Free-boundary problem;

    Abstract : In this work we address to the problems of the loan origination decision-making systems. In accordance with the basic principles of the loan origination process we considered the main rules of a clients parameters estimation, a change-point problem for the given data and a disorder moment detection problem for the real-time observations. READ MORE

  4. 3. Change Point Estimation for Stochastic Differential Equations

    University essay from Matematiska och systemtekniska institutionen

    Author : Hatice Yalman; [2009]
    Keywords : Brownian motion; stochastic differential equations; Ornstein-Uhlenbeck; change points; estimates; simulations; closings; returns; Dow-Jones; Goldman-Sachs;

    Abstract : A stochastic differential equationdriven by a Brownian motion where the dispersion is determined by a parameter is considered. The parameter undergoes a change at a certain time point. Estimates of the time change point and the parameter, before and after that time, is considered.The estimates were presented in Lacus 2008. READ MORE