PARAMETER ESTIMATION AND CHANGE-POINT DETECTION FOR PROCESS AR(P)/ARCH(Q) WITH UNKNOWN PARAMETERS

被引：0

作者：

Vorobeychikov, S. E. ^{[1
]}

Burkatovskaya, Yu. B. ^{[2
]}

机构：

[1] Natl Res Tomsk State Univ, Phys & Math, Tomsk, Russia

[2] Natl Res Tomsk Polytech Univ, Tomsk, Russia

来源：

VESTNIK TOMSKOGO GOSUDARSTVENNOGO UNIVERSITETA-UPRAVLENIE VYCHISLITELNAJA TEHNIKA I INFORMATIKA-TOMSK STATE UNIVERSITY JOURNAL OF CONTROL AND COMPUTER SCIENCE | 2019年 / 46期

基金：

俄罗斯科学基金会;

关键词：

AR/ARCH; guaranteed parameter estimation; change-point detection;

D O I：

10.17223/19988605/46/5

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

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; due to usage of the estimators the false alarm and delay probabilities are bounded from above. The results of simulation are presented.

引用

页码：40 / 48

页数：9

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