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Deciding a sampling length for estimating the parameters in Geometric Brownian Motion  

Song, Jun-Mo (OTC Products Dealing Team, KYOBO Securities Co., Ltd.)
Publication Information
Journal of the Korean Data and Information Science Society / v.22, no.3, 2011 , pp. 549-553 More about this Journal
Abstract
In this paper, we deal with the problem of deciding the length of data for estimating the parameters in geometric Brownian motion. As an approach to this problem, we consider the change point test and introduce simple test statistic based on the cumulative sum of squares test (cusum test). A real data analysis is performed for illustration.
Keywords
Cusum test; geometric Brownian motion; sampling length;
Citations & Related Records
Times Cited By KSCI : 4  (Citation Analysis)
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