Počet záznamů: 1
Changepoint in Dependent and Non-Stationary Panels
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SYSNO ASEP 0524844 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Článek ve WOS Název Changepoint in Dependent and Non-Stationary Panels Tvůrce(i) Maciak, M. (CZ)
Pešta, M. (CZ)
Peštová, Barbora (UIVT-O) RID, SAIZdroj.dok. Statistical Papers. - : Springer - ISSN 0932-5026
Roč. 61, č. 4 (2020), s. 1385-1407Poč.str. 23 s. Jazyk dok. eng - angličtina Země vyd. US - Spojené státy americké Klíč. slova Panel data ; Changepoint ; Dependence ; Non-stationatity ; Bootstrap ; Call options ; Insurance Vědní obor RIV BB - Aplikovaná statistika, operační výzkum Obor OECD Statistics and probability Způsob publikování Omezený přístup Institucionální podpora UIVT-O - RVO:67985807 UT WOS 000535153900001 EID SCOPUS 85085348156 DOI 10.1007/s00362-020-01180-6 Anotace Detection procedures for a change in means of panel data are proposed. Unlike classical inference tools used for the changepoint analysis in the panel data framework, we allow for mutually dependent and generally non-stationary panels with an extremely short follow-up period. Two competitive self-normalized test statistics are employed and their asymptotic properties are derived for a large number of available panels. The bootstrap extensions are introduced in order to handle such a universal setup. The novel changepoint methods are able to detect a common break point even when the change occurs immediately after the first time point or just before the last observation period. The developed tests are proved to be consistent. Their empirical properties are investigated through a simulation study. The invented techniques are applied to option pricing and non-life insurance. Pracoviště Ústav informatiky Kontakt Tereza Šírová, sirova@cs.cas.cz, Tel.: 266 053 800 Rok sběru 2021 Elektronická adresa http://dx.doi.org/10.1007/s00362-020-01180-6
Počet záznamů: 1