线性回归模型中方差变点的连续监测

Sequential Monitoring Variance Change in Linear Regression Model

中文关键词:  连续监测  方差变点  线性模型  残量.

英文关键词:sequential monitoring  variance change  linear regression model  residuals.

中文摘要:

      本文研究线性模型中方差变点的连续监测问题,监测方法基于残量平方的累计和构造的监测函数和一个边界函数,模拟说明本文的方法对于监测过程开始时刻出现的方差变点有很好的监测效果,且当模型中只有回归系数发生变点或回归系数和方差同时发生变点时,本文的变点监测方法仍然有效.

英文摘要:

      The paper investigates the sequential observations' variance change in linear regression model. The procedure is based on a detection function constructed by residual squares of CUSUM and a boundary function which is designed so that the test has a small probability of false alarm and asymptotic power one. Simulation results show our monitoring procedure performs well when variance change occurs shortly after the monitoring time. The method is still feasible for regression coefficients change or both variance and regression coefficients change problem.