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Principle Seminar of the Department of Probability Theory, Moscow State University
April 12, 2017 16:45, Moscow, MSU, auditorium 12-24
 


Asymptotical power of convolutional tests of symmetry and homogeneity. Financial applications in disorder detection

Kozhan Dmitriy Petrovich

Sberbank RF
Materials:
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Abstract: Two new tests of symmetry and three new tests of homogeneity based on convolutional statistics distributions have been constructed. Their properties have been comparatively described. Stochastic integral of anticipatory function has been defined. Characteristic functions of power of convolutional symmetry test based on the integral of anticipatory function (second type convolution) and on the first type convolution have been calculated for any continuous alternative. Applications in financial mathematics have been given (financial control charts and disorder quickest detection problem). All results are new.

Materials: _____2017.pdf (481.4 Kb)

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