Estimation of a Bivariate Geometric Brownian Motion with Change-points
碩士 === 國立成功大學 === 統計學系碩博士班 === 98 === Bivariate geometric Brownian motion is widely used in modeling bavariate correlated economical data. Based on this model, the task of detecting change-points is considered. A likelihood-based approach for estimating the positions of change-points and a testing p...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/52888091028452490683 |