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Asymptotically Optimal Change Point Detection for Composite Hypothesis in State Space Models

IEEE transactions on information theory, 2021-01, Vol.67 (1), p.485-505

Fuh, Cheng-Der

2021

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Asymptotic Bayesian Theory of Quickest Change Detection for Hidden Markov Models

IEEE transactions on information theory, 2019-01, Vol.65 (1), p.511-529

2019

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Quickest Change Detection and Kullback-Leibler Divergence for Two-State Hidden Markov Models

IEEE transactions on signal processing, 2015-09, Vol.63 (18), p.4866-4878

2015

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Efficient exponential tilting with applications

Statistics and computing, 2024-04, Vol.34 (2), Article 65

2024

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Simulating false alarm probability in K-distributed sea clutter

Communications in statistics. Simulation and computation, 2022-09, Vol.51 (9), p.5081-5098

2022

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Asymptotic behavior for Markovian iterated function systems

Stochastic processes and their applications, 2021-08, Vol.138, p.186-211

Fuh, Cheng-Der

2021

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Ensuring More Is Better: On the Simultaneous Application of Stock and Options Data to Estimate the GARCH Options Pricing Model

The Journal of derivatives, 2018-10, Vol.26 (1), p.7-25

2018

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Kullback-Leibler Divergence and Akaike Information Criterion in General Hidden Markov Models

IEEE transactions on information theory, 2024-08, Vol.70 (8), p.5888-5909

2024

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Estimating a common break point in means for long‐range dependent panel data

Journal of time series analysis, 2024-07

2024

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Efficient Simulation of Value-at-Risk Under a Jump Diffusion Model: A New Method for Moderate Deviation Events

Computational economics, 2018-04, Vol.51 (4), p.973-990

2018

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Asymptotic Operating Characteristics of an Optimal Change Point Detection in Hidden Markov Models

The Annals of statistics, 2004-10, Vol.32 (5), p.2305-2339

Fuh, Cheng-Der

2004

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Markov chain importance sampling for minibatches

Machine learning, 2024-02, Vol.113 (2), p.789-814

2024

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Efficient Likelihood Estimation in State Space Models

The Annals of statistics, 2006-08, Vol.34 (4), p.2026-2068

Fuh, Cheng-Der

2006

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The Pricing of Risk and Sentiment: A Study of Executive Stock Options

Financial management, 2013-03, Vol.42 (1), p.79-99

2013

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Estimation of Time to Hard Failure Distributions Using a Three-Stage Method

IEEE transactions on reliability, 2010-06, Vol.59 (2), p.405-412

2010

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Reading between the ratings: Modeling residual credit risk and yield overlap

Journal of banking & finance, 2017-08, Vol.81, p.114-135

2017

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A tale of two regimes: Theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications

Journal of banking & finance, 2013-08, Vol.37 (8), p.3204-3217

2013

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Asymptotic expansions on moments of the first ladder height in Markov random walks with small drift

Advances in applied probability, 2007-09, Vol.39 (3), p.826-852

Fuh, Cheng-Der

2007

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Efficient importance sampling for events of moderate deviations with applications

Biometrika, 2004-06, Vol.91 (2), p.471-490

2004

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Computerized adaptive test using raw responses for item selection: Theoretical results and applications for the up-and-down method

Statistics and its interface, 2020, Vol.13 (3), p.317-333

2020

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Pricing discrete path-dependent options under a double exponential jump–diffusion model

Journal of banking & finance, 2013-08, Vol.37 (8), p.2702-2713

2013

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SPRT and CUSUM in Hidden Markov Models

The Annals of statistics, 2003-06, Vol.31 (3), p.942-977

Fuh, Cheng-Der

2003

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On an automatic and optimal importance sampling approach with applications in finance

Quantitative finance, 2016-08, Vol.16 (8), p.1259-1271

2016

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Optimal Strategies for a Class of Sequential Control Problems with Precedence Relations

The Annals of statistics, 2007-08, Vol.35 (4), p.1722-1748

2007

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Asymptotic Behavior of the Maximum Likelihood Estimator for General Markov Switching Models

Statistica Sinica, 2024-07

2024

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Asymptotically Optimal Change Point Detection for Composite Hypothesis in State Space Models

Asymptotic Bayesian Theory of Quickest Change Detection for Hidden Markov Models

Quickest Change Detection and Kullback-Leibler Divergence for Two-State Hidden Markov Models

Efficient exponential tilting with applications

Simulating false alarm probability in K-distributed sea clutter

Asymptotic behavior for Markovian iterated function systems

Ensuring More Is Better: On the Simultaneous Application of Stock and Options Data to Estimate the GARCH Options Pricing Model

Kullback-Leibler Divergence and Akaike Information Criterion in General Hidden Markov Models

Estimating a common break point in means for long‐range dependent panel data

Efficient Simulation of Value-at-Risk Under a Jump Diffusion Model: A New Method for Moderate Deviation Events

Asymptotic Operating Characteristics of an Optimal Change Point Detection in Hidden Markov Models

Markov chain importance sampling for minibatches

Efficient Likelihood Estimation in State Space Models

The Pricing of Risk and Sentiment: A Study of Executive Stock Options

Estimation of Time to Hard Failure Distributions Using a Three-Stage Method

Reading between the ratings: Modeling residual credit risk and yield overlap

A tale of two regimes: Theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications

Asymptotic expansions on moments of the first ladder height in Markov random walks with small drift

Efficient importance sampling for events of moderate deviations with applications

Computerized adaptive test using raw responses for item selection: Theoretical results and applications for the up-and-down method

Pricing discrete path-dependent options under a double exponential jump–diffusion model

SPRT and CUSUM in Hidden Markov Models

On an automatic and optimal importance sampling approach with applications in finance

Optimal Strategies for a Class of Sequential Control Problems with Precedence Relations

Asymptotic Behavior of the Maximum Likelihood Estimator for General Markov Switching Models

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