Yu. B. Burkatovskaya, S. É. Vorobeichikov, “Guaranteed detection of an imbalance instant of the GARCH-process”, Avtomat. i Telemekh., 2006, Issue 12,Pages <nobr>56

This article is cited in 3 papers

Stochastic Systems

Guaranteed detection of an imbalance instant of the GARCH-process

Yu. B. Burkatovskaya^a, S. É. Vorobeichikov^b

^a Tomsk Polytechnic University
^b Tomsk State University

Abstract: A detection instant problem of the GARCH-process parametric change with random noise distribution is studied. A sequential procedure of imbalance instant detection, where a decision of change existence is made at a given instant of time after the accumulation of given distinctions between possible process models, is suggested. Formulas for procedure characteristics calculation are developed, asymptotic qualities of the procedure are studied. Model estimated values are presented.

PACS: 02.50.Cw, 02.50.Ey

Presented by the member of Editorial Board: A. I. Kibzun

Received: 25.11.2005