Change-point estimation in ARCH models

被引：130
|
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.
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页码：513 / 539
页数：27
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