Change-point estimation in ARCH models
Kokoszka, Piotr ; Leipus, Remigijus
Bernoulli, Tome 6 (2000) no. 6, p. 513-539 / Harvested from Project Euclid
Text on Project Euclid
PDF
Alt PDF
The paper studies the change-point problem and the cross-covariance function for ARCH models. Bounds for the cross-covariance function are derived and explicit formulae are obtained in special cases. Consistency of a cusum type change-point estimator is proved and its rate of convergence is established. A Hájek-Rényi type inequality is also proved. Results are obtained under weak moment assumptions.
Publié le : 2000-06-14
Classification:  ARCH model,  change-point estimation,  cross-covariance function 
@article{1081616703,
     author = {Kokoszka, Piotr and Leipus, Remigijus},
     title = {Change-point estimation in ARCH models},
     journal = {Bernoulli},
     volume = {6},
     number = {6},
     year = {2000},
     pages = { 513-539},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1081616703}
}

Kokoszka, Piotr; Leipus, Remigijus. Change-point estimation in ARCH models. Bernoulli, Tome 6 (2000) no. 6, pp.  513-539. http://gdmltest.u-ga.fr/item/1081616703/