3,077 research outputs found

    Change detection in the Cox-Ingersoll-Ross model

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    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 parameters is of crucial importance. We develop one- and two-sided testing procedures for both drift parameters of the process. The test process is based on estimators that are motivated by the discrete time least-squares estimators, and its asymptotic distribution under the no-change hypothesis is that of a Brownian bridge. We prove the asymptotic weak consistence of the test, and derive the asymptotic properties of the change-point estimator under the alternative hypothesis of change at one point in time.Comment: 30 page

    Generalized mean-field study of a driven lattice gas

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    Generalized mean-field analysis has been performed to study the ordering process in a half-filled square lattice-gas model with repulsive nearest neighbor interaction under the influence of a uniform electric field. We have determined the configuration probabilities on 2-, 4-, 5-, and 6-point clusters excluding the possibility of sublattice ordering. The agreement between the results of 6-point approximations and Monte Carlo simulations confirms the absence of phase transition for sufficiently strong fields.Comment: 4 pages (REVTEX) with 4 PS figures (uuencoded

    „Birodalmak hanyatlanak, de a nyelv marad..."

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