Abstract
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.
Citation
Piotr Kokoszka. Remigijus Leipus. "Change-point estimation in ARCH models." Bernoulli 6 (3) 513 - 539, June 2000.
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