TAR(p)/ARCH(1) process guaranteed parameter estimation and change-point detection; International MultiConference of Engineers and Computer Scientists, IMECS 2016; Vol. 2
| Parent link: | International MultiConference of Engineers and Computer Scientists, IMECS 2016: Proceedings of the Conference, March 16-18, 2016, Hong Kong Vol. 2.— 2016.— [P. 936-941] |
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| Other Authors: | , |
| Summary: | Title screen A sequential method of unknown autoregressive parameters estimation of TAR(p)/ARCH(1) model, which all are assumed to be unknown, is presented. This procedure is based on the construction of the special stopping rule and weights for weighted least square estimation method, which allow us to guarantee the prescribe accuracy of the estimation.Also a sequential procedure of change point detection is proposed. Upper bounds for its basic characteristics, such as the probability of false alarm and the delay probability, are obtained. |
| Language: | English |
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2016
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| Subjects: | |
| Online Access: | http://www.iaeng.org/publication/IMECS2016/IMECS2016_pp936-941.pdf |
| Format: | Electronic Book Chapter |
| KOHA link: | https://koha.lib.tpu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=648825 |
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| 200 | 1 | |a TAR(p)/ARCH(1) process guaranteed parameter estimation and change-point detection |f Yu. B. Burkatovskaya, E. E. Sergeeva, S. E. Vorobeychikov | |
| 203 | |a Text |c electronic | ||
| 300 | |a Title screen | ||
| 320 | |a [References: 18 tit.] | ||
| 330 | |a A sequential method of unknown autoregressive parameters estimation of TAR(p)/ARCH(1) model, which all are assumed to be unknown, is presented. This procedure is based on the construction of the special stopping rule and weights for weighted least square estimation method, which allow us to guarantee the prescribe accuracy of the estimation.Also a sequential procedure of change point detection is proposed. Upper bounds for its basic characteristics, such as the probability of false alarm and the delay probability, are obtained. | ||
| 461 | |t International MultiConference of Engineers and Computer Scientists, IMECS 2016 |o Proceedings of the Conference, March 16-18, 2016, Hong Kong | ||
| 463 | |t Vol. 2 |v [P. 936-941] |d 2016 | ||
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| 610 | 1 | |a труды учёных ТПУ | |
| 610 | 1 | |a оценка | |
| 610 | 1 | |a параметры | |
| 610 | 1 | |a изменения | |
| 700 | 1 | |a Burkatovskaya |b Yu. B. |c mathematician |c associate Professor of Tomsk Polytechnic University, candidate of physico-mathematical Sciences |f 1973- |g Yuliya Borisovna |3 (RuTPU)RU\TPU\pers\36259 |9 19335 | |
| 701 | 1 | |a Sergeeva |b E. E. |c specialist in the field of Informatics and computer engineering |c associate Professor of Tomsk Polytechnic University, candidate of physico-mathematical Sciences |f 1985- |g Ekaterina Evgenjevna |3 (RuTPU)RU\TPU\pers\36847 | |
| 701 | 1 | |a Vorobeychikov |b S. E. |g Sergey Erikovich | |
| 712 | 0 | 2 | |a Томский политехнический университет |b Институт кибернетики, ИК |c 2010-2017 |9 27025 |
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