Detection of changes in a random financial sequence with a stable distribution
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Cites work
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- Chance and Stability
- CONTINUOUS INSPECTION SCHEMES
- Density parameter estimation of skewed α-stable distributions
- Detection and Diagnosis of Unknown Abrupt Changes Using CUSUM Multi-Chart Schemes
- Detection of Failure Rate Increases
- Efficiency of linear estimators under heavy-tailedness: convolutions of alpha-symmetric distri\-butions
- Empirical properties of asset returns: stylized facts and statistical issues
- Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time
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- Mathematical Statistics with Applications
- Maximum Likelihood Estimates of Symmetric Stable Distribution Parameters
- Monitoring Processes That Wander Using Integrated Moving Average Models
- On Optimum Methods in Quickest Detection Problems
- Parameter Estimation of Stable Distributions
- Stable Paretian models in finance
- Structural change tests in tail behaviour and the Asian crisis
- Symmetry and duality in Lévy markets
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- The design and analysis of 2-CUSUM procedure
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- The Pareto-Levy Law and the Distribution of Income
- Using the generalized likelihood ratio statistic for sequential detection of a change-point
Cited in
(7)- Real-time financial surveillance via quickest change-point detection methods
- Methods of the sequential testing of hypotheses in problems of analysis of random processes involving structural changes
- Order patterns, their variation and change points in financial time series and Brownian motion
- CUSUM multi-chart based on nonparametric likelihood approach for detecting unknown abrupt changes and its application for network data
- A nonparametric Bootstrap CUSUM multi-chart for detecting unknown abrupt changes
- Online change-point detection: a weighted sum approach with constraint and application to dynamic network observation
- Consistency of change point estimators for symmetrical stable distribution with parameters shift
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