Parameter estimation and change-point detection for process AR(p)/ARCH(q) with unknown parameters S. E. Vorobeychikov, Yu. B. Burkatovskaya
Material type:
ArticleOther title: Оценка параметра и обнаружения разладок процесса AR(p)/ARCH(q) с неизвестными параметрами [Parallel title]Subject(s): гарантированное оценивание параметров | обнаружение разладок | алгоритмы | асимптотические свойства | неасимптотические свойстваGenre/Form: статьи в журналах Online resources: Click here to access online
In:
Вестник Томского государственного университета. Управление, вычислительная техника и информатика № 46. С. 40-48Abstract: The problem of parameter estimation and change point detection of process AR(p)/ARCH(q) is considered. Sequential estimators with bounded standard deviation are proposed and their asymptotic properties are studied. The obtained estimators are used in a sequential change-point detection algorithm; due to usage of the estimators the false alarm and delay probabilities are bounded from above. The results of simulation are presented.
Библиогр.: 12 назв.
The problem of parameter estimation and change point detection of process AR(p)/ARCH(q) is considered. Sequential estimators with bounded standard deviation are proposed and their asymptotic properties are studied. The obtained estimators are used in a sequential change-point detection algorithm; due to usage of the estimators the false alarm and delay probabilities are bounded from above. The results of simulation are presented.
There are no comments on this title.