23 citations
2 papers
q-fin.MF2020★ 3 cited
First exit-time analysis for an approximate Barndorff-Nielsen and Shephard model with stationary self-decomposable variance process
Shantanu Awasthi, Indranil SenGupta
In this paper, an approximate version of the Barndorff-Nielsen and Shephard model, driven by a Brownian motion and a Lévy subordinator, is formulated. The first-exit time of the lo…
stat.ME2020★ 23 cited
Sequential hypothesis testing in machine learning, and crude oil price jump size detection
Michael Roberts, Indranil SenGupta
In this paper we present a sequential hypothesis test for the detection of general jump size distrubution. Infinitesimal generators for the corresponding log-likelihood ratios are…