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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| Erakunde egilea: | |
| Beste egile batzuk: | , |
| Gaia: | 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. |
| Hizkuntza: | ingelesa |
| Argitaratua: |
2016
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| Sarrera elektronikoa: | http://www.iaeng.org/IJAM/issues_v46/issue_3/IJAM_46_3_11.pdf |
| Formatua: | Baliabide elektronikoa Liburu kapitulua |
| KOHA link: | https://koha.lib.tpu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=654107 |