CMStatistics 2018: Start Registration
View Submission - CMStatistics
B0940
Title: Applications of goodness-of-fit test for compound Cox processes Authors:  Nuria Ruiz-Fuentes - University of Jaen (Spain) [presenting]
Paula Bouzas - University of Granada (Spain)
Abstract: The number of extreme values or the turning points of a stochastic process, as different as they may be, can be modeled by compound Cox processes. Having estimated the model by means of functional data analysis and having observed a new sample path, a goodness-of-fit test determines if it follows the same model. The conclusion can be used to answer a number of important questions that arise with real data. Some examples illustrate the application of the test. For example, dealing with extreme meteorological events, the application of the test helps to distinguish between climate zones or whether a certain period of time follows the usual pattern. Studying the turning points in the stock prices, the test assesses a possible similar behaviour of several stocks or markets.