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Guaranteed parameter estimation of ARARCH(1,1) with drifting parameter T. V. Dogadova, V. A. Vasilev

By: Dogadova, Tatiana VContributor(s): Vasilev, Vyacheslav AMaterial type: ArticleArticleSubject(s): ARARCH модель | гарантированная точность | оценивание параметров | усеченные последовательные оценкиGenre/Form: статьи в журналах Online resources: Click here to access online In: Известия высших учебных заведений. Физика Т. 58, № 11/2. С. 276-280Abstract: In this paper we solve the estimation problem of the drifting parameter of ARARCH(1,1) model with guaranteed accuracy in the mean square sense by sample of fixed size. Cases of known and unknown noise variances are considered. For the first case we apply the truncated sequential estimation method and for the second one we use the truncated estimation method. It is shown that the obtained results can be applied to more general models
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In this paper we solve the estimation problem of the drifting parameter of ARARCH(1,1) model with guaranteed accuracy in the mean square sense by sample of fixed size. Cases of known and unknown noise variances are considered. For the first case we apply the truncated sequential estimation method and for the second one we use the truncated estimation method. It is shown that the obtained results can be applied to more general models

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