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

DOI10.1007/978-3-319-13671-4_8MaRDI QIDQ3463538zbMATH OpenOpenAlexFDO

Authors Yulia Burkatovskaya, Ekaterina Sergeeva, Sergey E. Vorobeychikov

Publication date 19 January 2016

Published in Communications in Computer and Information Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-13671-4_8

zbMATH Keywords

change point detectionguaranteed parameter estimationTAR/ARCH

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• \(L_{p}\)-estimators in ARCH models
• A threshold AR(1) model
• An efficient algorithm for estimating a change-point
• Change-point estimation in ARCH models
• Change‐point monitoring in linear models
• Detecting change in a hazard regression model with right-censoring
• Estimation and asymptotic inference in the AR-ARCH model
• Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR-ARCH Models
• Generalized least squares estimation for explosive AR(1) processes with conditionally heteroscedastic errors
• Inference about the change-point from cumulative sum tests
• On a threshold autoregression with conditional heteroscedastic variances
• Stability and the Lyapounov exponent of threshold AR-ARCH models

Cited in

(1)

• Statistical Inference for Structurally Changed Threshold Autoregressive Models

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