An Information-Based Approach to the Change-Point Problem of the Noncentral SkewtDistribution with Applications to Stock Market Data

DOI10.1080/07474946.2014.961842MaRDI QIDQ2934408zbMATH OpenOpenAlexFDO

Authors Abeer Hasan, Wei Ning, Arjun K. Gupta

Publication date 12 December 2014

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474946.2014.961842

zbMATH Keywords

change-pointmaximum likelihood estimateSchwarz information criterionskew \(t\) distribution

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05) Sequential statistical analysis (62L10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A class of multivariate skew-normal models
• A semiparametric changepoint model
• A test for a change in a parameter occurring at an unknown point
• Change point analysis for generalized lambda distribution
• Change Point Detection in The Skew-Normal Model Parameters
• Change point problems in the model of logistic regression
• Estimating the dimension of a model
• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• Information approach for the change-point detection in the skew normal distribution and its applications
• Matrix variate extended skew normal distributions
• On matrix variate skew-normal distributions
• Parametric statistical change point analysis. With applications to genetics, medicine, and finance
• Simultaneous change point analysis and variable selection in a regression problem
• Testing for a change point in a sequence of exponential random variables with repeated values
• The multivariate skew-normal distribution
• Truncated and Limited Skew-Normal and Skew-t Distributions: Properties and an Illustration

Cited in

(11)

• Information approach for the change-point detection in the skew normal distribution and its applications
• Likelihood procedure for testing changes in skew normal model with applications to stock returns
• Likelihood ratio test change-point detection in the skew slash distribution
• Modified information criterion for detecting changes in skew slash distribution
• Change point analysis for weighted exponential distribution
• Change point detection in length-biased Weibull distribution for random censored data based on modified information criterion
• On the modified information-based approach to the change point detection (CPD) problem under the non-central skew t distribution
• Change-point detection of the Kumaraswamy skew-t distribution based on modified information criterion
• Estimating changepoints in extremal dependence, applied to aviation stock prices during COVID-19 pandemic
• Likelihood ratio test change point detection for the Weibull distribution with random censored data
• Confidence distributions for skew normal change-point model based on modified information criterion

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