On the choice of parameters of change-point detection with application to stock exchange data

• Authors: Stanisław Jaworski , Konrad Furmańczyk
• Languages of publication: EN

Abstracts

EN

Our paper is devoted to the study of V-Box Chart method in a parametric model. This algorithm is proposed to be used in the change-point detection in a sequence of observations. The choice of parameters in such an algorithm is heuristic. In our paper we use the mini-max rule for this choice and we control the probability that no signal is given, when the process is out of control as well as the probability of false alarm. We apply this algorithm to the detection of a change in stock exchange data.

Keywords

EN

V-Box Chart; mini-max rule, normal; distribution

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2011
• Volume: 12
• Issue: 1
• Pages: 87-96

Dates

published

2011

Contributors

author

Stanisław Jaworski

• Department of Econometrics and Statistics, Warsaw University of Life Sciences – SGGW

author

Konrad Furmańczyk

• Department of Applied Mathematics, Warsaw University of Life Sciences– SGGW

References

• Basseville M. and Nikiforov I. V. (1993) Detection of Abrupt Changes: Theory and Application. Upper Saddle River, NJ: Prentice-Hall.
• Brodsky B. E. and Darkhovsky B. S. (2002) Nonparametric Methods in Change-Point Problems. Dordrecht, The Netherlands: Kluwer.
• Furmańczyk K. and Jaworski S.. (2011) on internet http://p117650.users.sggw.pl/VBox/chart_box.pdf
• Jaworski S., Zieliński W. (2004) A procedure for epsilon-comparison of means of two normal distribution, Applicationes Mathematicae, 31(2), pp. 155-160
• Lai T. L. (1995) Sequential change-point detection in quality control and dynamical systems, J. Roy. Statist. Soc. Ser. B, vol. 57, pp. 613–658.
• Lu C. W. and Reynolds M. R (1999) EMWA control charts for monitoring the mean of autocorrelated process, J. Quality Technol., vol. 3, pp. 166–188.
• Poor H. V. and Hadjiliadis O. (2009) Quickest Detection, Cambridge, U.K. Cambridge Univ. Press.
• Rafajłowicz E., Pawlak M., Steland A. (2010) Nonparametric sequential change-point detection by a vertically trimmed box metod, IEEE Transactions on Information Theory, 56(7), pp. 3621-3634.
• Ritov Y. (1990) Decision theoretic optimality of the CUSUM procedure, Ann. Statist., vol. 18, pp. 1464–1469.
• Zieliński W. (2009) A nonparametric confidence interval for At-Risk-of-Poverty-Rate, Statistics in Transition new series, 10(3), pp. 437-444.