Date of Award
2020
Document Type
Dissertation
Publication Status
Version of Record
Submission Date
October 2026
Thesis/Dissertation Advisor [Chair]
Long, Hongwei
Abstract
The change point problem is a problem where a process changes regimes because a parameter changes at a point in time called the change point. The objective of this problem is to estimate the change point and each of the parameters of the stochastic process. In this thesis, we examine the change point problem for two classes of stochastic processes. First, we consider the volatility change point problem for stochastic diffusion processes driven by Brownian motions. Then, we consider the drift change point problem for Ornstein-Uhlenbeck processes driven by _-stable Levy motions. In each problem, we establish the consistency of the estimators, determine asymptotic behavior for the changing parameters, and finally, we perform simulation studies to computationally assess the convergence of parameters.
Extent
119 p.
Recommended Citation
Ball, Cory, "THE CHANGE POINT PROBLEM FOR TWO CLASSES OF STOCHASTIC PROCESSES" (2020). Electronic Theses and Dissertations 2020 - Present. 597.
https://digitalcommons.fau.edu/etd_general/597
Identifier
FA00013462
Comments
Includes bibliography.|Dissertation (Ph.D.)--Florida Atlantic University, 2020.|FAU Electronic Theses and Dissertations Collection|Includes bibliography.