Guaranteed detection of an imbalance instant of the GARCH-process

Yu B. Burkatovskaya, S. E. Vorobeichikov

Division for Information Technology

Research output: Contribution to journal › Article

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 language	English
Pages (from-to)	1913-1926
Number of pages	14
Journal	Automation and Remote Control
Volume	67
Issue number	12
DOIs	https://doi.org/10.1134/S0005117906120058
Publication status	Published - 1 Jan 2006

ASJC Scopus subject areas

Control and Systems Engineering

Access to Document

10.1134/S0005117906120058

Cite this

Burkatovskaya, Y. B., & Vorobeichikov, S. E. (2006). Guaranteed detection of an imbalance instant of the GARCH-process. Automation and Remote Control, 67(12), 1913-1926. https://doi.org/10.1134/S0005117906120058

@article{f0852f36f1a648deac2a336b6e10b9d8,

title = "Guaranteed detection of an imbalance instant of the GARCH-process",

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.",

author = "Burkatovskaya, {Yu B.} and Vorobeichikov, {S. E.}",

year = "2006",

month = jan,

day = "1",

doi = "10.1134/S0005117906120058",

language = "English",

volume = "67",

pages = "1913--1926",

journal = "Automation and Remote Control",

issn = "0005-1179",

publisher = "Maik Nauka-Interperiodica Publishing",

number = "12",

}

TY - JOUR

T1 - Guaranteed detection of an imbalance instant of the GARCH-process

AU - Burkatovskaya, Yu B.

AU - Vorobeichikov, S. E.

PY - 2006/1/1

Y1 - 2006/1/1

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=33845670332&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=33845670332&partnerID=8YFLogxK

U2 - 10.1134/S0005117906120058

DO - 10.1134/S0005117906120058

M3 - Article

AN - SCOPUS:33845670332

VL - 67

SP - 1913

EP - 1926

JO - Automation and Remote Control

JF - Automation and Remote Control

SN - 0005-1179

IS - 12

ER -