TAR(p)/ARCH(1) process guaranteed parameter estimation and change-point detection

TAR(p)/ARCH(1) process guaranteed parameter estimation and change-point detection

Bibliografske podrobnosti
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]
Glavni avtor:	Burkatovskaya Yu. B. Yuliya Borisovna
Korporativna značnica:	Национальный исследовательский Томский политехнический университет (ТПУ) Институт кибернетики (ИК) Кафедра вычислительной техники (ВТ)
Drugi avtorji:	Sergeeva E. E. Ekaterina Evgenjevna, Vorobeychikov S. E. Sergey Erikovich
Izvleček:	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.
Jezik:	angleščina
Izdano:	2016
Teme:	электронный ресурс труды учёных ТПУ оценка параметры изменения
Online dostop:	http://www.iaeng.org/publication/IMECS2016/IMECS2016_pp936-941.pdf
Format:	Elektronski Book Chapter
KOHA link:	https://koha.lib.tpu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=648825

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