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.
ASJC Scopus subject areas
- Control and Systems Engineering