Abstract
The problem of guaranteed parameter estimation and change point detection of threshold autoregressive processes with conditional heteroscedasticity (TAR/ARCH) is considered. The parameters of the process are assumed to be unknown. A sequential procedure with guaranteed quality is proposed. The results of simulation are presented.
| Original language | English |
|---|---|
| Title of host publication | Communications in Computer and Information Science |
| Publisher | Springer Verlag |
| Pages | 59-68 |
| Number of pages | 10 |
| Volume | 487 |
| ISBN (Print) | 9783319136707 |
| DOIs | |
| Publication status | Published - 2014 |
| Event | 13th International Scientific Conference on Information Technologies and Mathematical Modelling, ITMM 2014 - Anzhero-Sudzhensk, Russian Federation Duration: 20 Nov 2014 → 22 Nov 2014 |
Publication series
| Name | Communications in Computer and Information Science |
|---|---|
| Volume | 487 |
| ISSN (Print) | 18650929 |
Other
| Other | 13th International Scientific Conference on Information Technologies and Mathematical Modelling, ITMM 2014 |
|---|---|
| Country | Russian Federation |
| City | Anzhero-Sudzhensk |
| Period | 20.11.14 → 22.11.14 |
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Keywords
- change point detection
- guaranteed parameter estimation
- TAR/ARCH
ASJC Scopus subject areas
- Computer Science(all)
Cite this
Burkatovskaya, Y., Sergeeva, E., & Vorobeychikov, S. (2014). On Guaranteed Sequential Change Point Detection for TAR(1)/ARCH(1) Process. In Communications in Computer and Information Science (Vol. 487, pp. 59-68). (Communications in Computer and Information Science; Vol. 487). Springer Verlag. https://doi.org/10.2147/PPA.S72004