Detection and estimation of changes in ARCH processes
From MaRDI portal
Problems of testing for change-point in ARCH process \(\{X_k, k\in N\}\) are considered. The authors study asymptotic behaviour of the process \[ U_N(t)={{[Nt](N-[Nt])}\over{N^2}}({{1}\over{[Nt]}} \sum_{j=1}^{[Nt]}X_j-{{1}\over{N-[Nt]}}\sum_{j=[Nt]+1}^NX_j) \] Properties of the estimator \(\widehat{k}=\min\{k: |U_k|=\max_{1\leq j\leq n}|U_j|\}\) of change-point \(k\) are obtained. Some extensions to a more general setting are given. For the entire collection see [Zbl 0943.00038].
Recommendations
Cited in
(6)- Change-point estimation in ARCH models
- Testing for a change of the innovation distribution in an ARCH model
- Estimation mean change-point in ARCH models with heavy-tailed innovations
- Estimating mean change-points in ARCH models
- Testing and estimation for multiple change-point in ARCH models
- Analysis of multiple model method for change detection of AR processes
This page was built for publication: Detection and estimation of changes in ARCH processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4518942)
