Journal of the Korean Data and Information Science Society

The Korean Data and Information Science Society (한국데이터정보과학회)
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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.)
  • Received : 2011.02.07
  • Accepted : 2011.03.30
  • Published : 2011.05.31
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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

References

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