TAR(p)/ARCH(1) Process with an Arbitrary Threshold: Guaranteed Parameter Estimation and Change-Point Detection

TAR(p)/ARCH(1) Process with an Arbitrary Threshold: Guaranteed Parameter Estimation and Change-Point Detection

Detalles Bibliográficos
Parent link:IAENG International Journal of Applied Mathematics
Vol. 46, iss. 3.— 2016.— [14 p.]
Autor Principal: Vorobeychikov S. E. Sergey Erikovich
Autor Corporativo: Национальный исследовательский Томский политехнический университет (ТПУ) Институт социально-гуманитарных технологий (ИСГТ) Кафедра истории и регионоведения (ИСТ)
Outros autores: Burkatovskaya Yu. B. Yuliya Borisovna, Sergeeva E. E. Ekaterina Evgenjevna
Summary: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:inglés
Publicado: 2016
Subjects:
труды учёных ТПУ
электронный ресурс
AR/ARCH
guaranteed parameter estimation
change point detection AR/ARCH
change point detection
Acceso en liña:http://www.iaeng.org/IJAM/issues_v46/issue_3/IJAM_46_3_11.pdf
Formato: Electrónico Capítulo de libro
KOHA link:https://koha.lib.tpu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=654107

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