On Guaranteed Sequential Change Point Detection for TAR(1)/ARCH(1) Process

On Guaranteed Sequential Change Point Detection for TAR(1)/ARCH(1) Process

Bibliographic Details
Parent link:Communications in Computer and Information Science
Vol. 487 : Information Technologies and Mathematical Modelling, ITMM 2014.— 2014.— [P. 59-68]
Main Author: Burkatovskaya Yu. B. Yuliya Borisovna
Corporate Author: Национальный исследовательский Томский политехнический университет (ТПУ) Институт кибернетики (ИК) Кафедра вычислительной техники (ВТ)
Other Authors: Sergeeva E. E. Ekaterina Evgenjevna, Vorobeychikov S. E. Sergey Erikovich
Summary:Title screen
The problem of guaranteed parameter estimation and change point detection of threshold autoregressive processes with conditional heteroscedasticity (TAR/ARCH) is considered. The parameters of the process are assumed to be unknown. A sequential procedure with guaranteed quality is proposed. The results of simulation are presented.
Режим доступа: по договору с организацией-держателем ресурса
Published: 2014
Subjects:
электронный ресурс
труды учёных ТПУ
Online Access:http://dx.doi.org/10.1007/978-3-319-13671-4_8
Format: Electronic Book Chapter
KOHA link:https://koha.lib.tpu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=648764

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