Sequential hypothesis testing in machine learning, and crude oil price jump size detection

ABSTRACT In this paper, we present a sequential hypothesis test for the detection of the distribution of jump size in Lévy processes. Infinitesimal generators for the corresponding log-likelihood ratios are presented and analysed. Bounds for infinitesimal generators in terms of super-solutions and sub-solutions are computed. This is shown to be implementable in relation to various classification problems for a crude oil price data set. Machine and deep learning algorithms are implemented to extract a specific deterministic component from the data set, and the deterministic component is implemented to improve the Barndorff-Nielsen & Shephard model, a commonly used stochastic model for derivative and commodity market analysis.