TAR(p)/ARCH(1) process guaranteed parameter estimation and change-point detection; International MultiConference of Engineers and Computer Scientists, IMECS 2016; Vol. 2

TAR(p)/ARCH(1) process guaranteed parameter estimation and change-point detection; International MultiConference of Engineers and Computer Scientists, IMECS 2016; Vol. 2

Dettagli Bibliografici
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]
Autore principale:	Burkatovskaya Yu. B. Yuliya Borisovna
Ente Autore:	Томский политехнический университет Институт кибернетики, ИК
Altri autori:	Sergeeva E. E. Ekaterina Evgenjevna, Vorobeychikov S. E. Sergey Erikovich
Riassunto:	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.
Lingua:	inglese
Pubblicazione:	2016
Soggetti:	электронный ресурс труды учёных ТПУ оценка параметры изменения
Accesso online:	http://www.iaeng.org/publication/IMECS2016/IMECS2016_pp936-941.pdf
Natura:	Elettronico Capitolo di libro
KOHA link:	https://koha.lib.tpu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=648825

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