Jennifer S. K. Chan

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During the outbreak of an epidemic disease, for example, the severe acute respiratory syndrome (SARS), the number of daily infected cases often exhibit multiple trends: monotone increasing during the growing stage, stationary during the stabilized stage and then decreasing during the declining stage. Lam first proposed modelling a monotone trend by a(More)
We consider two problems concerning locating change points in a linear regression model. One involves jump discontinuities (change-point) in a regression model and the other involves regression lines connected at unknown points. We compare four methods for estimating single or multiple change points in a regression model, when both the error variance and(More)
Extreme value theories indicate that the range is an efficient estimator of local volatility on a financial asset return. This paper proposes a novel geometric process (GP) framework for range data that nests the well known Conditional Autoregressive Range (CARR) model. We extend the GP model of Lam (1988) to a Conditional Autoregressive Geometric Process(More)
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