On Two Estimation Problems for Times of Change of the Probabilistic Characteristics of a Random Sequence

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 1985 English Publisher:Society for Industrial & Applied Mathematics (SIAM)Journal:Theory of Probability & Its Applications, volume 29, pages 478-487 (issn: 0040-585X, eissn: 1095-7219,

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Authors: Darkhovskij, B. S.;

doi: 10.1137/1129062

On Two Estimation Problems for Times of Change of the Probabilistic Characteristics of a Random Sequence

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Abstract

Translation from Teor. Veroyatn. Primen. 29, No.3, 464-473 (Russian) (1984; Zbl 0568.62080).

Keywords

Time series, auto-correlation, regression, etc. in statistics (GARCH), random sequences, finite state space, weak mixing conditions, asymptotically unbiased estimators, change point problem, Nonparametric estimation, lower bound for the mean square error

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