On the Choice of Parameters of Change-Point Detection with Application to Stock Exchange Data

• Autorzy: Stanisław Jaworski , Konrad Furmańczyk
• Języki publikacji: EN

Abstrakty

EN

Our paper is devoted to the study of V-Box Chart method in a parametric model. This algorithm is proposed to be used in the change-point detection in a sequence of observations. The choice of parameters in such an algorithm is heuristic. In our paper we use the mini-max rule for this choice and we control the probability that no signal is given, when the process is out of control as well as the probability of false alarm. We apply this algorithm to the detection of a change in stock exchange data. (original abstract)

Słowa kluczowe

EN

Normal distribution; Algorithms; Stock exchange; Information

PL

Rozkłady normalne; Algorytmy; Giełda; Informacja

• Czasopismo: Metody Ilościowe w Badaniach Ekonomicznych / Szkoła Główna Gospodarstwa Wiejskiego
• Rocznik: 2011
• Tom: 12(XII)
• Numer: nr 1
• Strony: 87--96

Twórcy

autor

Stanisław Jaworski

• Szkoła Główna Gospodarstwa Wiejskiego w Warszawie

autor

Konrad Furmańczyk

• Szkoła Główna Gospodarstwa Wiejskiego w Warszawie

Bibliografia

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