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

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	https://doi.org/10.2147/PPA.S72004
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

Keywords

change point detection
guaranteed parameter estimation
TAR/ARCH

ASJC Scopus subject areas

Computer Science(all)

Access to Document

10.2147/PPA.S72004

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1 Participation in conference

The International MultiConference of Engineers and Computer Scientists
Yulia Borisovna Burkatovskaya (Participant) & Andrey Vladimirovich Proskokov (Participant)
16 Mar 2016 → 18 Mar 2016
Activity: Participating in or organising an event types › Participation in conference

Cite this

On Guaranteed Sequential Change Point Detection for TAR(1)/ARCH(1) Process. / Burkatovskaya, Yulia; Sergeeva, Ekaterina; Vorobeychikov, Sergei.

Communications in Computer and Information Science. Vol. 487 Springer Verlag, 2014. p. 59-68 (Communications in Computer and Information Science; Vol. 487).

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

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, Communications in Computer and Information Science, vol. 487, Springer Verlag, pp. 59-68, 13th International Scientific Conference on Information Technologies and Mathematical Modelling, ITMM 2014, Anzhero-Sudzhensk, Russian Federation, 20.11.14. https://doi.org/10.2147/PPA.S72004

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