Statistical Validation of Financial Forecasting Tools with Generalized Likelihood Ratio Approaches

2017 ◽  
pp. 183-209
Author(s):  
Gerasimos G. Rigatos
Keyword(s):  
Likelihood Ratio ◽  
Financial Forecasting ◽  
Statistical Validation ◽  
Generalized Likelihood Ratio

Fault Detection in Linear Discrete Dynamic Systems by a Pattern Recognition of a Generalized-Likelihood-Ratio

1990 ◽  
Vol 112 (2) ◽  
pp. 276-282 ◽  
Author(s):  
S. Tanaka ◽  
P. C. Mu¨ller
Keyword(s):  
Pattern Recognition ◽  
Likelihood Ratio ◽  
Dynamic Systems ◽  
Abrupt Change ◽  
Detection Method ◽  
Discrete Dynamical System ◽  
Generalized Likelihood Ratio ◽  
Robust Detection ◽  
Chi Squared ◽  
Discrete Dynamic Systems

The detection of an abrupt change in the parameters of a linear discrete dynamical system is considered in the framework of the easily implemented generalized-likelihood-ratio (GLR) method. This paper proposes a robust detection method based on a pattern recognition of the maximum GLR provided by the conventional step-hypothesized GLR method. A numerical example demonstrates that the proposed method is highly superior to the conventional step-hypothesized GLR method and to the Chi-squared test in both detection rate and detection speed.

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