Sequential Estimation and Control of Time-Varying Unit Root Processes with an Application to S&P Stock Price

DOI10.1080/07474946.2012.651971zbMath1235.62116OpenAlexW1999529055MaRDI QIDQ5389554

Carlo Grillenzoni

Publication date: 21 April 2012

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474946.2012.651971

zbMATH Keywords

random walksrecursive estimatorsturning pointssequential detectionfinancial series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40) Statistical methods; economic indices and measures (91B82) Sequential estimation (62L12)

Cites Work

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• Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?
• Some statistical aspects of methods for detection of turning points in business cycles
• Performance analysis of general tracking algorithms

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