On Guaranteed Sequential Change Point Detection for TAR(1)/ARCH(1) Process
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Publication:3463538
DOI10.1007/978-3-319-13671-4_8zbMath1329.62371OpenAlexW193719862MaRDI QIDQ3463538
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
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10) Non-Markovian processes: hypothesis testing (62M07)
Cites Work
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- \(L_{p}\)-estimators in ARCH models
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- Generalized least squares estimation for explosive AR(1) processes with conditionally heteroscedastic errors
- Estimation and Asymptotic Inference in the AR-ARCH Model
- A threshold AR(1) model
- Change‐point monitoring in linear models
- Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR-ARCH Models
- Inference about the change-point from cumulative sum tests
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