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On Guaranteed Sequential Change Point Detection for TAR(1)/ARCH(1) Process

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Information Technologies and Mathematical Modelling (ITMM 2014)

Part of the book series: Communications in Computer and Information Science ((CCIS,volume 487))

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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.

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Author information

Authors and Affiliations

  1. Institute of Cybernetics, Tomsk Polytechnical University, 30 Lenin Prospekt, 634050, Tomsk, Russia

    Yulia Burkatovskaya, Ekaterina Sergeeva & Sergei Vorobeychikov

  2. Department of Applied Mathematics and Cybernetics, Tomsk State University, 36 Lenin Prospekt, 634050, Tomsk, Russia

    Yulia Burkatovskaya, Ekaterina Sergeeva & Sergei Vorobeychikov

Authors
  1. Yulia Burkatovskaya
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  2. Ekaterina Sergeeva
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  3. Sergei Vorobeychikov
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Editor information

Editors and Affiliations

  1. Department of Applied Mathematics and Computer Science, Belarusian State University, 220030, Minsk, Belarus

    Alexander Dudin

  2. Tomsk State University, Tomsk, Russia

    Anatoly Nazarov

  3. Kemerovo State University, Anzhero-Sudzhensk, Russia

    Rafael Yakupov

  4. National Research Tomsk State University, 634050, Tomsk, Russia

    Alexander Gortsev

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Burkatovskaya, Y., Sergeeva, E., Vorobeychikov, S. (2014). On Guaranteed Sequential Change Point Detection for TAR(1)/ARCH(1) Process. In: Dudin, A., Nazarov, A., Yakupov, R., Gortsev, A. (eds) Information Technologies and Mathematical Modelling. ITMM 2014. Communications in Computer and Information Science, vol 487. Springer, Cham. https://doi.org/10.1007/978-3-319-13671-4_8

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  • DOI: https://doi.org/10.1007/978-3-319-13671-4_8

  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-13670-7

  • Online ISBN: 978-3-319-13671-4

  • eBook Packages: Computer ScienceComputer Science (R0)

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