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Statistical inference for discrete and continuous time stochastic processes : robust estimation and change point analysis : 이산 시간과 연속 시간 확률과정에서의 추론 : 강건한 추정방법과 변화점 탐지 분석
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- Authors
- Advisor
- 이상열
- Issue Date
- 2008
- Publisher
- 서울대학교 대학원
- Keywords
- 확산과정 ; Di?usion processes ; GARCH 모형 ; GARCH models ; ARMA-GARCH모형 ; ARMA-GARCH models ; 강건한 추정법 ; robustestimation ; 모수변화검정 ; test for parameter change ; 최소 밀도 멱발산 추정량 ; minimum density power divergence estimator ; 누적제곱합 검정 ; the cusum test ; 확률미분방정식 ; stochastic di?erential equation ; 점근적 정규성 ; asymptotic normality ; 브라우니안브리지 ; Brownianbridge.
- Description
- Thesis(doctors)--서울대학교 대학원 :통계학과,2008.2.
- Language
- English
- URI
- http://dcollection.snu.ac.kr:80/jsp/common/DcLoOrgPer.jsp?sItemId=000000039347
https://hdl.handle.net/10371/20653
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