Changepoint in Dependent and Non-Stationary Panels

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985807%3A_____%2F20%3A00524844" target="_blank" >RIV/67985807:_____/20:00524844 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/00216208:11320/20:10418297

Výsledek na webu

<a href="http://dx.doi.org/10.1007/s00362-020-01180-6" target="_blank" >http://dx.doi.org/10.1007/s00362-020-01180-6</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1007/s00362-020-01180-6" target="_blank" >10.1007/s00362-020-01180-6</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Changepoint in Dependent and Non-Stationary Panels

Popis výsledku v původním jazyce

Detection procedures for a change in means of panel data are proposed. Unlike classical inference tools used for the changepoint analysis in the panel data framework, we allow for mutually dependent and generally non-stationary panels with an extremely short follow-up period. Two competitive self-normalized test statistics are employed and their asymptotic properties are derived for a large number of available panels. The bootstrap extensions are introduced in order to handle such a universal setup. The novel changepoint methods are able to detect a common break point even when the change occurs immediately after the first time point or just before the last observation period. The developed tests are proved to be consistent. Their empirical properties are investigated through a simulation study. The invented techniques are applied to option pricing and non-life insurance.

Název v anglickém jazyce

Changepoint in Dependent and Non-Stationary Panels

Popis výsledku anglicky

Detection procedures for a change in means of panel data are proposed. Unlike classical inference tools used for the changepoint analysis in the panel data framework, we allow for mutually dependent and generally non-stationary panels with an extremely short follow-up period. Two competitive self-normalized test statistics are employed and their asymptotic properties are derived for a large number of available panels. The bootstrap extensions are introduced in order to handle such a universal setup. The novel changepoint methods are able to detect a common break point even when the change occurs immediately after the first time point or just before the last observation period. The developed tests are proved to be consistent. Their empirical properties are investigated through a simulation study. The invented techniques are applied to option pricing and non-life insurance.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

<a href="/cs/project/GJ18-01781Y" target="_blank" >GJ18-01781Y: Dynamické a granulární rezervování škod s využitím kopulí - DaGLoRCo</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2020

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Statistical Papers

ISSN

0932-5026

e-ISSN

—

Svazek periodika

61

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

23

Strana od-do

1385-1407

Kód UT WoS článku

000535153900001

EID výsledku v databázi Scopus

2-s2.0-85085348156