Activities per year
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 |
Keywords
- change point detection
- guaranteed parameter estimation
- TAR/ARCH
ASJC Scopus subject areas
- Computer Science(all)
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.
Activities
- 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 2016Activity: Participating in or organising an event types › Participation in conference