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
收藏
页码：40 / 48
页数：9
相关论文
共 50 条
12345