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

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.

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

Information

Published: June 2000
First available in Project Euclid: 10 April 2004

zbMATH: 0997.62068
MathSciNet: MR2001C:62100

Rights: Copyright © 2000 Bernoulli Society for Mathematical Statistics and Probability

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Vol.6 • No. 3 • June 2000
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