Cluster analysis for stable processes

Tsutomu Watanabe, Hiroshi Shiraishi, Masanobu Taniguchi

研究成果: Article査読

抄録

It is known that various financial time series, e.g., daily log returns on a share price, foreign exchange rates, excess bond returns, etc., exhibit heavy-tailed behavior. Recently, discriminant analysis has been applied to financial time series, such as, the problem of credit rating for companies. In this article, we investigate the problem of classifying an -stable linear process into one of two categories with indices 1 and 2, respectively. We propose some discriminant criteria. It is shown that our discriminant statistics are consistent. The misclassification probabilities are also evaluated under contiguous hypotheses. Some numerical studies for an (AR(1)) process are given.

本文言語English
ページ(範囲)1630-1642
ページ数13
ジャーナルCommunications in Statistics - Theory and Methods
39
8-9
DOI
出版ステータスPublished - 2010 1 1

ASJC Scopus subject areas

  • Statistics and Probability

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