Detection of the Change Point and Optimal Stopping Time by Using Control Charts on Energy Derivatives

University essay from Högskolan i Halmstad/Tillämpad matematik och fysik (MPE-lab); Högskolan i Halmstad/Tillämpad matematik och fysik (MPE-lab)

Author: Cihan Al; Kubra Koroglu; [2011]

Keywords: change point detection; optimal stopping time; shiryaev; shewhart; ewma; cusum; statistical process control; SPC; Financial Mathematics; changepoint detection; optimalstopping time; Shiryaev metod; Cusum metod; Ewma metod;

Abstract:

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