Change-point estimation in ARCH models

被引：132

作者：

Kokoszka, P ^{[1
]}

Leipus, R

机构：

[1] Univ Liverpool, Dept Math Sci, Liverpool L69 3BX, Merseyside, England

[2] Vilnius State Univ, Dept Math, LT-2600 Vilnius, Lithuania

来源：

BERNOULLI | 2000年 / 6卷 / 03期

关键词：

ARCH model; change-point estimation; cross-covariance function;

D O I：

10.2307/3318673

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This 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 Hajek-Renyi type inequality is also proved. Results are obtained under weak moment assumptions.

引用

页码：513 / 539

页数：27

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