On Guaranteed Sequential Change Point Detection for TAR(1)/ARCH(1) Process

Yulia Burkatovskaya, Ekaterina Sergeeva, Sergei Vorobeychikov

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

2 Citations (Scopus)

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 languageEnglish
Title of host publicationCommunications in Computer and Information Science
PublisherSpringer Verlag
Pages59-68
Number of pages10
Volume487
ISBN (Print)9783319136707
DOIs
Publication statusPublished - 2014
Event13th International Scientific Conference on Information Technologies and Mathematical Modelling, ITMM 2014 - Anzhero-Sudzhensk, Russian Federation
Duration: 20 Nov 2014 → 22 Nov 2014

Publication series

NameCommunications in Computer and Information Science
Volume487
ISSN (Print)18650929

Other

Other13th International Scientific Conference on Information Technologies and Mathematical Modelling, ITMM 2014
CountryRussian Federation
CityAnzhero-Sudzhensk
Period20.11.14 → 22.11.14

Keywords

  • change point detection
  • guaranteed parameter estimation
  • TAR/ARCH

ASJC Scopus subject areas

  • Computer Science(all)

Access to Document

Fingerprint Dive into the research topics of 'On Guaranteed Sequential Change Point Detection for TAR(1)/ARCH(1) Process'. Together they form a unique fingerprint.

  • 1 Participation in conference

Cite this