Zobrazeno 1 - 10
of 12
pro vyhledávání: '"Edoh Katchekpele"'
Publikováno v:
Journal of Applied Mathematics, Vol 2023 (2023)
In this paper, we consider a multivariate statistical model of accident frequencies having a variable number of parameters and whose parameters are dependent and subject to box constraints and linear equality constraints. We design a minorization-max
Externí odkaz:
https://doaj.org/article/ce70a5e7ea54460f81a43314b79ed85f
Publikováno v:
Malaya Journal of Matematik. 11:11-24
Publikováno v:
Afrika Statistika. 17:3293-3319
Since the studies of Engel (1982) and Bollerslev (1986), the ARCH and GARCH processes have been used extensively to model volatile series. However, Pagan and Schwert (1990) have shown the limits of these choices. This deficiency is overcome by the No
Publikováno v:
Afrika Statistika. 17:3293-3319
Since the studies of Engel (1982) and Bollerslev (1986), the ARCH and GARCH processes have been used extensively to model volatile series. However, Pagan and Schwert (1990) have shown the limits of these choices. This deficiency is overcome by the No
Publikováno v:
Afrika Statistika. 16:2979-2991
Publikováno v:
African Journal of Applied Statistics. 8:1041-1047
Several procedures have been developed for the detection of abrupt changes in time series. Among these procedures, it can be mentioned the Cumulative Sum (Cusum) type method. It is in such a perspective that Katchekpele et al. (2017) proposed a metho
Publikováno v:
Malaya Journal of Matematik. 9:251-258
Publikováno v:
Far East Journal of Applied Mathematics. :67-80
Publikováno v:
Afrika Statistika. 12:1336-1346
Publikováno v:
Afr. Stat. 12, no. 2 (2017), 1333-1346
Nous etudions un test de type CUSUM pour la detection de rupture dans la variance inconditionnelle des modeles GARCH. Nous montrons que sous l'hypothese nulle, notre statistique de test converge vers le supremum d'un pont Brownien standard. Utilisant