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Changepoint in Dependent and Non-Stationary Panels

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    SYSNO ASEP0524844
    Document TypeJ - Journal Article
    R&D Document TypeJournal Article
    Subsidiary JČlánek ve WOS
    TitleChangepoint in Dependent and Non-Stationary Panels
    Author(s) Maciak, M. (CZ)
    Pešta, M. (CZ)
    Peštová, Barbora (UIVT-O) RID, SAI
    Source TitleStatistical Papers. - : Springer - ISSN 0932-5026
    Roč. 61, č. 4 (2020), s. 1385-1407
    Number of pages23 s.
    Languageeng - English
    CountryUS - United States
    KeywordsPanel data ; Changepoint ; Dependence ; Non-stationatity ; Bootstrap ; Call options ; Insurance
    Subject RIVBB - Applied Statistics, Operational Research
    OECD categoryStatistics and probability
    Method of publishingLimited access
    Institutional supportUIVT-O - RVO:67985807
    UT WOS000535153900001
    EID SCOPUS85085348156
    DOI10.1007/s00362-020-01180-6
    AnnotationDetection 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.
    WorkplaceInstitute of Computer Science
    ContactTereza Šírová, sirova@cs.cas.cz, Tel.: 266 053 800
    Year of Publishing2021
    Electronic addresshttp://dx.doi.org/10.1007/s00362-020-01180-6
Number of the records: 1  

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