Browsing by Subject "Change point"

Change point analysis in the generalized Pareto distribution

Mwelu, Susan; Waititu, A.G; Mwita, P.N (Machakos University, 2019-04)

The general goal of data statistical analysis is to find a near perfect translation to reality such that minimal information is lost in the approximating model. In this paper change point problem is viewed as a model ...

Change point analysis in the generalized Pareto distribution

Mwelu, Susan; Waititu, A.G; Mwita, P.N (MksU Press, 2021-06)

The general goal of data statistical analysis is to find a near perfect translation to reality such that minimal information is lost in the approximating model. In this paper change point problem is viewed as a model ...

Change Point Estimation in Volatility of a Time series using a Kolmogorov Smirnov Type Test Statistic

Ngure, Josephine Njeri; Waititu, Anthony Gichuhi (MksU Press, 2021-06)

Detection of structural change in volatility of a time series is very important for understanding volatility dynamics and the stylized facts observed in financial time series. By applying the Nadaraya Watson kernel ...

Change Point Estimation in Volatility of a Time series using a Kolmogorov Smirnov Type Test Statistic

Ngure, Josephine Njeri; Waititu, Anthony Gichuhi (Machakos University, 2019-04)

Detection of structural change in volatility of a time series is very important for understanding volatility dynamics and the stylized facts observed in financial time series. By applying the Nadaraya Watson kernel ...