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
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
}
TY - GEN
T1 - On Guaranteed Sequential Change Point Detection for TAR(1)/ARCH(1) Process
AU - Burkatovskaya, Yulia
AU - Sergeeva, Ekaterina
AU - Vorobeychikov, Sergei
PY - 2014
Y1 - 2014
N2 - 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.
AB - 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.
KW - change point detection
KW - guaranteed parameter estimation
KW - TAR/ARCH
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UR - http://www.scopus.com/inward/citedby.url?scp=84915782280&partnerID=8YFLogxK
U2 - 10.2147/PPA.S72004
DO - 10.2147/PPA.S72004
M3 - Conference contribution
AN - SCOPUS:84915782280
SN - 9783319136707
VL - 487
T3 - Communications in Computer and Information Science
SP - 59
EP - 68
BT - Communications in Computer and Information Science
PB - Springer Verlag
ER -