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

被引：12

作者：

Hasan, Abeer ^{[1
]}

Ning, Wei ^{[2
]}

Gupta, Arjun K. ^{[2
]}

机构：

[1] Humboldt State Univ, Dept Math, Arcata, CA USA

[2] Bowling Green State Univ, Dept Math & Stat, Bowling Green, OH 43403 USA

来源：

SEQUENTIAL ANALYSIS-DESIGN METHODS AND APPLICATIONS | 2014年 / 33卷 / 04期

关键词：

Change-point; Maximum likelihood estimate; Schwarz information criterion; Skew t distribution; 62L10; 62F03; 62F05; 60P20; MODEL; REGRESSION; PARAMETER; TESTS;

D O I：

10.1080/07474946.2014.961842

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The change-point problem for the noncentral skew t distribution is studied in this article. An approach based on Schwartz information criterion (SIC) is used to detect the changes of the parameters of this distribution. Simulations are conducted to illustrate the performance of the proposed procedure. The method is successfully applied to the stock returns of several Latin American countries.

引用

页码：458 / 474

页数：17

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