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THE CHANGE POINT PROBLEM FOR TWO CLASSES OF STOCHASTIC PROCESSES
| Title: | THE CHANGE POINT PROBLEM FOR TWO CLASSES OF STOCHASTIC PROCESSES. |
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| Name(s): |
Ball, Cory , author Long, Hongwei, Thesis advisor Florida Atlantic University, Degree grantor Department of Mathematical Sciences Charles E. Schmidt College of Science |
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| Type of Resource: | text | |
| Genre: | Electronic Thesis Or Dissertation | |
| Date Created: | 2020 | |
| Date Issued: | 2020 | |
| Publisher: | Florida Atlantic University | |
| Place of Publication: | Boca Raton, Fla. | |
| Physical Form: | application/pdf | |
| Extent: | 119 p. | |
| Language(s): | English | |
| Abstract/Description: | The change point problem is a problem where a process changes regimes because a parameter changes at a point in time called the change point. The objective of this problem is to estimate the change point and each of the parameters of the stochastic process. In this thesis, we examine the change point problem for two classes of stochastic processes. First, we consider the volatility change point problem for stochastic diffusion processes driven by Brownian motions. Then, we consider the drift change point problem for Ornstein-Uhlenbeck processes driven by _-stable Levy motions. In each problem, we establish the consistency of the estimators, determine asymptotic behavior for the changing parameters, and finally, we perform simulation studies to computationally assess the convergence of parameters. | |
| Identifier: | FA00013462 (IID) | |
| Degree granted: | Dissertation (Ph.D.)--Florida Atlantic University, 2020. | |
| Collection: | FAU Electronic Theses and Dissertations Collection | |
| Note(s): | Includes bibliography. | |
| Subject(s): |
Stochastic processes Change-point problems Brownian motion processes Ornstein-Uhlenbeck process Computer simulation |
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| Held by: | Florida Atlantic University Libraries | |
| Sublocation: | Digital Library | |
| Persistent Link to This Record: | http://purl.flvc.org/fau/fd/FA00013462 | |
| Use and Reproduction: | Copyright © is held by the author with permission granted to Florida Atlantic University to digitize, archive and distribute this item for non-profit research and educational purposes. Any reuse of this item in excess of fair use or other copyright exemptions requires permission of the copyright holder. | |
| Use and Reproduction: | http://rightsstatements.org/vocab/InC/1.0/ | |
| Host Institution: | FAU | |
| Is Part of Series: | Florida Atlantic University Digital Library Collections. |
