Guaranteed detection of an imbalance instant of the GARCH-process

Yu B. Burkatovskaya, S. E. Vorobeichikov

Research output: Contribution to journalArticle

Abstract

A detection instant problem of the GARCH-process parametric change with random noise distribution is studied. A sequential procedure of imbalance instant detection, where a decision of change existence is made at a given instant of time after the accumulation of given distinctions between possible process models, is suggested. Formulas for procedure characteristics calculation are developed, asymptotic qualities of the procedure are studied. Model estimated values are presented.

Original languageEnglish
Pages (from-to)1913-1926
Number of pages14
JournalAutomation and Remote Control
Volume67
Issue number12
DOIs
Publication statusPublished - 1 Jan 2006

ASJC Scopus subject areas

  • Control and Systems Engineering

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