Distributional properties and parameters estimation of GSB Process: An approach based on characteristic functions
Само за регистроване кориснике
2016
Чланак у часопису (Објављена верзија)
Метаподаци
Приказ свих података о документуАпстракт
A general type of a Split-BREAK process with Gaussian innovations (henceforth, Gaussian Split-BREAK or GSB process) is considered. The basic stochastic properties of the model are studied and its characteristic function derived. A procedure to estimate the parameter of the GSB model based on the Empirical Characteristic Function (ECF) is proposed. Our simulations suggest that the proposed method performs well compared to a Method of Moment procedure used as benchmark. The empirical use of the GSB model is illustrated with an application to the time series of total values of shares traded at Belgrade Stock Exchange.
Кључне речи:
GSB process / STOPBREAK process / Noise Indicator / Split–MA process / Empirical characteristic function estimationИзвор:
Alea : Latin American journal of probability and mathematical statistics, 2016, 13, 2, 853-861Издавач:
- Beachwood : Institute of Mathematical Statistics
Институција/група
JakovTY - JOUR AU - Stojanović, Vladica AU - Milovanović, Gradimir V. AU - Jelić, Gordana PY - 2016 UR - https://jakov.kpu.edu.rs/handle/123456789/1685 AB - A general type of a Split-BREAK process with Gaussian innovations (henceforth, Gaussian Split-BREAK or GSB process) is considered. The basic stochastic properties of the model are studied and its characteristic function derived. A procedure to estimate the parameter of the GSB model based on the Empirical Characteristic Function (ECF) is proposed. Our simulations suggest that the proposed method performs well compared to a Method of Moment procedure used as benchmark. The empirical use of the GSB model is illustrated with an application to the time series of total values of shares traded at Belgrade Stock Exchange. PB - Beachwood : Institute of Mathematical Statistics T2 - Alea : Latin American journal of probability and mathematical statistics T1 - Distributional properties and parameters estimation of GSB Process: An approach based on characteristic functions VL - 13 IS - 2 SP - 853 EP - 861 DO - 10.30757/ALEA.v13-33 ER -
@article{ author = "Stojanović, Vladica and Milovanović, Gradimir V. and Jelić, Gordana", year = "2016", abstract = "A general type of a Split-BREAK process with Gaussian innovations (henceforth, Gaussian Split-BREAK or GSB process) is considered. The basic stochastic properties of the model are studied and its characteristic function derived. A procedure to estimate the parameter of the GSB model based on the Empirical Characteristic Function (ECF) is proposed. Our simulations suggest that the proposed method performs well compared to a Method of Moment procedure used as benchmark. The empirical use of the GSB model is illustrated with an application to the time series of total values of shares traded at Belgrade Stock Exchange.", publisher = "Beachwood : Institute of Mathematical Statistics", journal = "Alea : Latin American journal of probability and mathematical statistics", title = "Distributional properties and parameters estimation of GSB Process: An approach based on characteristic functions", volume = "13", number = "2", pages = "853-861", doi = "10.30757/ALEA.v13-33" }
Stojanović, V., Milovanović, G. V.,& Jelić, G.. (2016). Distributional properties and parameters estimation of GSB Process: An approach based on characteristic functions. in Alea : Latin American journal of probability and mathematical statistics Beachwood : Institute of Mathematical Statistics., 13(2), 853-861. https://doi.org/10.30757/ALEA.v13-33
Stojanović V, Milovanović GV, Jelić G. Distributional properties and parameters estimation of GSB Process: An approach based on characteristic functions. in Alea : Latin American journal of probability and mathematical statistics. 2016;13(2):853-861. doi:10.30757/ALEA.v13-33 .
Stojanović, Vladica, Milovanović, Gradimir V., Jelić, Gordana, "Distributional properties and parameters estimation of GSB Process: An approach based on characteristic functions" in Alea : Latin American journal of probability and mathematical statistics, 13, no. 2 (2016):853-861, https://doi.org/10.30757/ALEA.v13-33 . .