1 citations · 1 across the 1 of their papers we have counts for
3 papers
math.ST2015
Change detection in the Cox-Ingersoll-Ross model
Gyula Pap, Tamás T. Szabó
We propose a change detection method for the famous Cox--Ingersoll--Ross model. This model is widely used in financial mathematics and therefore detecting a change in its parameter…
math.ST2014
Parameter estimation for the subcritical Heston model based on discrete time observations
Matyas Barczy, Gyula Pap, Tamas T. Szabo
We study asymptotic properties of some (essentially conditional least squares) parameter estimators for the subcritical Heston model based on discrete time observations derived fro…
math.ST2011★ 1 cited
Change detection in INAR(p) processes against various alternative hypotheses
Gyula Pap, Tamás T. Szabó
Change in the coefficients or in the mean of the innovation distribution of an INAR(p) process is a sign of disturbance that is important to detect. The methods of this paper can t…