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Change Point Estimation for Stochastic Differential Equations
Växjö University, Faculty of Mathematics/Science/Technology, School of Mathematics and Systems Engineering.
2009 (English)Independent thesis Basic level (degree of Bachelor), 15 credits / 22,5 HE creditsStudent thesis
Abstract [en]

A stochastic differential equationdriven by a Brownian motion where the dispersion is determined by a parameter is considered. The parameter undergoes a change at a certain time point. Estimates of the time change point and the parameter, before and after that time, is considered.The estimates were presented in Lacus 2008. Two cases are considered: (1) the drift is known, (2) the drift is unknown and the dispersion space-independent. Applications to Dow-Jones index 1971-1974  and Goldmann-Sachs closings 2005-- May 2009 are given.

Place, publisher, year, edition, pages
2009. , p. 28
Series
Reports from MSI, ISSN 1650-2647 ; 09019
Keywords [en]
Brownian motion, stochastic differential equations, Ornstein-Uhlenbeck, change points, estimates, simulations, closings, returns, Dow-Jones, Goldman-Sachs
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:vxu:diva-5748OAI: oai:DiVA.org:vxu-5748DiVA, id: diva2:233646
Presentation
(English)
Uppsok
Physics, Chemistry, Mathematics
Supervisors
Examiners
Available from: 2009-09-02 Created: 2009-09-01 Last updated: 2010-03-10Bibliographically approved

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CiteExportLink to record
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  • apa
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  • de-DE
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