TAR(p)/ARCH(1) Process with an Arbitrary Threshold: Guaranteed Parameter Estimation and Change-Point Detection; IAENG International Journal of Applied Mathematics; Vol. 46, iss. 3
| Parent link: | IAENG International Journal of Applied Mathematics Vol. 46, iss. 3.— 2016.— [14 p.] |
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| Autor principal: | |
| Autor corporatiu: | |
| Altres autors: | , |
| Sumari: | Title screen A sequential method of unknown autoregressive parameters estimation of TAR(p)/ARCH(1) model with an arbitrary threshold is presented. This procedure is based on the construction of the special stopping rule and weights for weighted least square estimation method, allowing 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. The ergodicity region of TAR(2)/ARCH(1) model is studied and asymptotic properties of the proposed method for ergodic TAR(p)/ARCH(1) process are investigated. |
| Idioma: | anglès |
| Publicat: |
2016
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| Matèries: | |
| Accés en línia: | http://www.iaeng.org/IJAM/issues_v46/issue_3/IJAM_46_3_11.pdf |
| Format: | Electrònic Capítol de llibre |
| KOHA link: | https://koha.lib.tpu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=654107 |
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| 200 | 1 | |a TAR(p)/ARCH(1) Process with an Arbitrary Threshold: Guaranteed Parameter Estimation and Change-Point Detection |f S. E. Vorobeychikov, Yu. B. Burkatovskaya, E. E. Sergeeva | |
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| 300 | |a Title screen | ||
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| 330 | |a A sequential method of unknown autoregressive parameters estimation of TAR(p)/ARCH(1) model with an arbitrary threshold is presented. This procedure is based on the construction of the special stopping rule and weights for weighted least square estimation method, allowing 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. The ergodicity region of TAR(2)/ARCH(1) model is studied and asymptotic properties of the proposed method for ergodic TAR(p)/ARCH(1) process are investigated. | ||
| 461 | |t IAENG International Journal of Applied Mathematics | ||
| 463 | |t Vol. 46, iss. 3 |v [14 p.] |d 2016 | ||
| 610 | 1 | |a труды учёных ТПУ | |
| 610 | 1 | |a электронный ресурс | |
| 610 | 1 | |a AR/ARCH | |
| 610 | 1 | |a guaranteed parameter estimation | |
| 610 | 1 | |a change point detection AR/ARCH | |
| 610 | 1 | |a guaranteed parameter estimation | |
| 610 | 1 | |a change point detection | |
| 700 | 1 | |a Vorobeychikov |b S. E. |g Sergey Erikovich | |
| 701 | 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. |g Ekaterina Evgenjevna | |
| 712 | 0 | 2 | |a Национальный исследовательский Томский политехнический университет (ТПУ) |b Институт социально-гуманитарных технологий (ИСГТ) |b Кафедра истории и регионоведения (ИСТ) |3 (RuTPU)RU\TPU\col\18372 |
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