Changepoint estimation for dependent and non-stationary panels.
DOI10.21136/AM.2020.0296-19OpenAlexW3031754953MaRDI QIDQ778562FDOQ778562
Barbora Peštová, Matúš Maciak, Michal Pešta
Publication date: 2 July 2020
Published in: Applications of Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.21136/am.2020.0296-19
changepointpanel datadependenceestimationnon-stationaritycall optionsnon-life insurancechange in means
Point estimation (62F10) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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- Basic properties of strong mixing conditions. A survey and some open questions
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- Total least squares and bootstrapping with applications in calibration
- Changepoint estimation for dependent and non-stationary panels.
Cited In (9)
- Changepoint in dependent and non-stationary panels
- Infinitely stochastic micro reserving
- Implied Volatility Surface Estimation via Quantile Regularization
- Investment disputes and their explicit role in option market uncertainty and overall risk instability
- Isolating changed panels and estimating common change point after sequential detection with FDR control
- Changepoint estimation for dependent and non-stationary panels.
- Title not available (Why is that?)
- Editorial for the special issue: Change point detection
- Using interpolated implied volatility for analysing exogenous market changes
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