Guaranteed detection of an imbalance instant of the GARCH-process

DOI10.1134/S0005117906120058zbMath1195.62138OpenAlexW1973139044MaRDI QIDQ885777

S. E. Vorobeichikov, Yu. B. Burkatovskaya

Publication date: 14 June 2007

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117906120058

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10)

Related Items (1)

On asymptotic description of a probabilistic change-point model for a two-state discrete Markov process

Cites Work

• Spectral estimates and stable processes
• Testing for parameter changes in ARCH models
• Generalized autoregressive conditional heteroscedasticity
• Empirical process of the squared residuals of an ARCH sequence
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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