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 | |
| Publication status | Published - 1 Jan 2006 |
ASJC Scopus subject areas
- Control and Systems Engineering
Cite this
Guaranteed detection of an imbalance instant of the GARCH-process. / Burkatovskaya, Yu B.; Vorobeichikov, S. E.
In: Automation and Remote Control, Vol. 67, No. 12, 01.01.2006, p. 1913-1926.Research output: Contribution to journal › Article
}
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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UR - http://www.scopus.com/inward/citedby.url?scp=33845670332&partnerID=8YFLogxK
U2 - 10.1134/S0005117906120058
DO - 10.1134/S0005117906120058
M3 - Article
VL - 67
SP - 1913
EP - 1926
JO - Automation and Remote Control
JF - Automation and Remote Control
SN - 0005-1179
IS - 12
ER -