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

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 2016

Activity: Participating in or organising an event types › Participation in conference

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

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

@inproceedings{0b5cf564742f4f229a331b2317d492c1,

title = "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.",

keywords = "change point detection, guaranteed parameter estimation, TAR/ARCH",

author = "Yulia Burkatovskaya and Ekaterina Sergeeva and Sergei Vorobeychikov",

year = "2014",

doi = "10.2147/PPA.S72004",

language = "English",

isbn = "9783319136707",

volume = "487",

series = "Communications in Computer and Information Science",

publisher = "Springer Verlag",

pages = "59--68",

booktitle = "Communications in Computer and Information Science",

note = "13th International Scientific Conference on Information Technologies and Mathematical Modelling, ITMM 2014 ; Conference date: 20-11-2014 Through 22-11-2014",

}

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

UR - http://www.scopus.com/inward/record.url?scp=84915782280&partnerID=8YFLogxK

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

T2 - 13th International Scientific Conference on Information Technologies and Mathematical Modelling, ITMM 2014

Y2 - 20 November 2014 through 22 November 2014

ER -