Number of the records: 1
Changepoint in Dependent and Non-Stationary Panels
- 1.
SYSNO ASEP 0524844 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title Changepoint in Dependent and Non-Stationary Panels Author(s) Maciak, M. (CZ)
Pešta, M. (CZ)
Peštová, Barbora (UIVT-O) RID, SAISource Title Statistical Papers. - : Springer - ISSN 0932-5026
Roč. 61, č. 4 (2020), s. 1385-1407Number of pages 23 s. Language eng - English Country US - United States Keywords Panel data ; Changepoint ; Dependence ; Non-stationatity ; Bootstrap ; Call options ; Insurance Subject RIV BB - Applied Statistics, Operational Research OECD category Statistics and probability Method of publishing Limited access Institutional support UIVT-O - RVO:67985807 UT WOS 000535153900001 EID SCOPUS 85085348156 DOI 10.1007/s00362-020-01180-6 Annotation 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. Workplace Institute of Computer Science Contact Tereza Šírová, sirova@cs.cas.cz, Tel.: 266 053 800 Year of Publishing 2021 Electronic address http://dx.doi.org/10.1007/s00362-020-01180-6
Number of the records: 1