"Optimal statistical decisions about some alternative financial models"@en . "Optimal statistical decisions about some alternative financial models" . . "Optim\u00E1ln\u00ED statistick\u00E9 rozhodov\u00E1n\u00ED o n\u011Bkter\u00FDch alternat\u00EDvn\u00EDch finan\u010Dn\u00EDch modelech"@cs . "30"^^ . . "439757" . . "1"^^ . . "441;471" . . "2"^^ . "Optim\u00E1ln\u00ED statistick\u00E9 rozhodov\u00E1n\u00ED o n\u011Bkter\u00FDch alternat\u00EDvn\u00EDch finan\u010Dn\u00EDch modelech"@cs . . . . . . . . . "CH - \u0160v\u00FDcarsk\u00E1 konfederace" . "Journal of Econometrics" . . "P(1M0572), P(GA201/02/1391), P(IAA1075403), Z(AV0Z10750506)" . "Vajda, Igor" . . . "Black-Scholes-Merton models; Relative entropies; Power divergences; Hellinger intergrals; Total variation distance; Bayesian decisions; Neyman-Pearson testing"@en . "RIV/67985556:_____/07:00079841!RIV07-AV0-67985556" . "2" . "0304-4076" . "Errors of the Neyman-Pearson testing and risks of the Bayesian decisions are estimated by means of more easily evaluated information-theoretic divergences when the hypothesis is the geometric Brownian motion and the alternative is a diffusion random process with price-dependent growth rate. A series of mathematical theorems is proved in order to characterize the properties of the obtained estimates. Concrete DAX-index type data are used to illustrate the accuracy and practical value of the estimates." . . "Optimal statistical decisions about some alternative financial models" . . "RIV/67985556:_____/07:00079841" . . "Errors of the Neyman-Pearson testing and risks of the Bayesian decisions are estimated by means of more easily evaluated information-theoretic divergences when the hypothesis is the geometric Brownian motion and the alternative is a diffusion random process with price-dependent growth rate. A series of mathematical theorems is proved in order to characterize the properties of the obtained estimates. Concrete DAX-index type data are used to illustrate the accuracy and practical value of the estimates."@en . "137" . . . "Chyby Neyman-Pearsonov\u00FDch test\u016F a rizika bayesovsk\u00FDch rozhodnut\u00ED jsou odhadnuty pomoc\u00ED sn\u00E1ze vy\u010D\u00EDsliteln\u00FDch informa\u010Dn\u00EDch divergenc\u00ED v situaci, kdy hypot\u00E9zou je geometrick\u00FD Brown\u016Fv pohyb a alternativu tvo\u0159\u00ED difuzn\u00ED proces s rychlost\u00ED r\u016Fstu z\u00E1vislou na cen\u011B. Dok\u00E1zuje se \u0159ada matematick\u00FDch teor\u00E9m\u016F popisuj\u00EDch vlastnosti z\u00EDskan\u00FDch odhad\u016F. Konkr\u00E9tn\u00ED data typu DAX indexu jsou pou\u017Eita k osv\u011Btlen\u00ED praktick\u00E9ho v\u00FDznamu a ov\u011B\u0159en\u00ED p\u0159esnosti odhad\u016F."@cs . "[3527A7F94B8F]" . "Optimal statistical decisions about some alternative financial models"@en . . "Stummer, W." . .