The Split-BREAK model
Stojanović, Vladica ; Popović, Biljana ; Popović, Predrag
Braz. J. Probab. Stat., Tome 25 (2011) no. 1, p. 44-63 / Harvested from Project Euclid
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A special type of the stochastic STOPBREAK process, which behaves properly when applied to time series data with emphatic permanent fluctuations, is presented. A good dynamic behavior is induced by the threshold regime and named the Split-BREAK process. General properties of this threshold STOPBREAK process are investigated, as well as some estimation procedures for the parameters of the process presented. A Monte Carlo simulation of the process is given and its application to the share trading on the Belgrade Stock Exchange illustrated.
Publié le : 2011-03-15
Classification:  Split-BREAK process,  Noise-indicator,  Split-MA(1) process,  62M10 
@article{1291387773,
     author = {Stojanovi\'c, Vladica and Popovi\'c, Biljana and Popovi\'c, Predrag},
     title = {The Split-BREAK model},
     journal = {Braz. J. Probab. Stat.},
     volume = {25},
     number = {1},
     year = {2011},
     pages = { 44-63},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1291387773}
}

Stojanović, Vladica; Popović, Biljana; Popović, Predrag. The Split-BREAK model. Braz. J. Probab. Stat., Tome 25 (2011) no. 1, pp.  44-63. http://gdmltest.u-ga.fr/item/1291387773/