Parameter estimation and change-point detection for process AR(p)/ARCH(q) with unknown parameters
The problem of parameter estimation and change point detection of process AR(p)/ARCH(q) is considered. Sequential estimators with bounded standard deviation are proposed and their asymptotic properties are studied. The obtained estimators are used in a sequential change-point detection algorithm; du...
| Published in: | Вестник Томского государственного университета. Управление, вычислительная техника и информатика № 46. С. 40-48 |
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| Format: | Article |
| Language: | English |
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| Online Access: | http://vital.lib.tsu.ru/vital/access/manager/Repository/vtls:000651572 Перейти в каталог НБ ТГУ |