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Avtomatika i Telemekhanika, 2006, Issue 12, Pages 56–70 (Mi at1252)  
This article is cited in 3 scientific papers (total in 3 papers)

Stochastic Systems

Guaranteed detection of an imbalance instant of the GARCH-process

Yu. B. Burkatovskayaa, S. É. Vorobeichikovb

a Tomsk Polytechnic University
b Tomsk State University
Full-text PDF (269 kB) Citations (3)
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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.
Presented by the member of Editorial Board: A. I. Kibzun

Received: 25.11.2005
English version:
Automation and Remote Control, 2006, Volume 67, Issue 12, Pages 1913–1926
DOI: https://doi.org/10.1134/S0005117906120058
Bibliographic databases:
Document Type: Article
PACS: 02.50.Cw, 02.50.Ey
Language: Russian
Citation: Yu. B. Burkatovskaya, S. É. Vorobeichikov, “Guaranteed detection of an imbalance instant of the GARCH-process”, Avtomat. i Telemekh., 2006, no. 12, 56–70; Autom. Remote Control, 67:12 (2006), 1913–1926
Citation in format AMSBIB
\Bibitem{BurVor06}
\by Yu.~B.~Burkatovskaya, S.~\'E.~Vorobeichikov
\paper Guaranteed detection of an imbalance instant of the GARCH-process
\jour Avtomat. i Telemekh.
\yr 2006
\issue 12
\pages 56--70
\mathnet{http://mi.mathnet.ru/at1252}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2283317}
\zmath{https://zbmath.org/?q=an:1195.62138}
\transl
\jour Autom. Remote Control
\yr 2006
\vol 67
\issue 12
\pages 1913--1926
\crossref{https://doi.org/10.1134/S0005117906120058}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-33845670332}
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  • https://www.mathnet.ru/eng/at/y2006/i12/p56
    • This publication is cited in the following 3 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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    References:57
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