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Optimal statistical decisions about some alternative financial models

SYSNO ASEP	0079841
Document Type	J - Journal Article
R&D Document Type	Journal Article
Subsidiary J	Ostatní články
Title	Optimal statistical decisions about some alternative financial models
Title	Optimální statistické rozhodování o některých alternatívních finančních modelech
Author(s)	Vajda, Igor (UTIA-B) Stummer, W. (DE)
Source Title	Journal of Econometrics. - : Elsevier - ISSN 0304-4076 Roč. 137, č. 2 (2007), s. 441-471
Number of pages	30 s.
Language	eng - English
Country	NL - Netherlands
Keywords	Black-Scholes-Merton models ; Relative entropies ; Power divergences ; Hellinger intergrals ; Total variation distance ; Bayesian decisions ; Neyman-Pearson testing
Subject RIV	BD - Theory of Information
R&D Projects	1M0572 GA MŠMT - Ministry of Education, Youth and Sports (MEYS)
	GA201/02/1391 GA ČR - Czech Science Foundation (CSF)
	IAA1075403 GA AV ČR - Academy of Sciences of the Czech Republic (AV ČR)
CEZ	AV0Z10750506 - UTIA-B (2005-2011)
Annotation	Errors of the Neyman-Pearson testing and risks of the Bayesian decisions are estimated by means of more easily evaluated information-theoretic divergences when the hypothesis is the geometric Brownian motion and the alternative is a diffusion random process with price-dependent growth rate. A series of mathematical theorems is proved in order to characterize the properties of the obtained estimates. Concrete DAX-index type data are used to illustrate the accuracy and practical value of the estimates.
Workplace	Institute of Information Theory and Automation
Contact	Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
Year of Publishing	2007

Number of the records: 1