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.
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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 -