Browsing by Subject "Brownian bridge"
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(2011)In this paper, we propose a test of fit based on maximum entropy. The asymptotic distribution of the proposed test statistic is established and a corrected form for small and medium sample sizes is furnished. The performance ...
(2006)We study historical and sequential CUSUM change-point tests for strongly dependent nonlinear processes. These tests are used to monitor the conditional variance of asset returns and to provide real-time information regarding ...