金浩,田铮,杨云峰.改进的自回归过程结构变点检验[J].数学研究及应用,2011,31(1):79~90 |
改进的自回归过程结构变点检验 |
Modified Testing for Structural Changes in Autoregressive Processes |
投稿时间:2009-03-23 修订日期:2010-05-28 |
DOI:10.3770/j.issn:1000-341X.2011.01.009 |
中文关键词: 子抽样 残量平方累积和检验 布朗桥 结构变点. |
英文关键词:subsampling RCUSQ test Brownian bridge structural changes. |
基金项目:国家自然科学基金(Grant 70873094; 08&ZD046; 10926197;2010039). |
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中文摘要: |
本文研究了残量平方累积和统计量对自回归过程结构变点的检验,并运用再抽样法来提高检验势函数值.研究表明在一般条件下,残量平方累积和统计量的渐近极分布是一个标准布朗桥函数的上确界.数值模拟和实例分析都充分说明本文方法对自回归结构变点检验的有效性. |
英文摘要: |
In this paper, we consider the problem of detecting for structural changes in the autoregressive processes including AR($p$) process. In performing a test, we employ the conventional residual CUSUM of squares test (RCUSQ) statistic. The RCUSQ test is based on the subsampling method introduced by Jach and Kokoszka [J. Methodology and Computing in Applied Probability 25(2004)]. It is shown that under regularity conditions, the asymptotic distribution of the test statistic is the function of a standard Brownian bridge. Simulation results as to AR(1) process and an example of real data analysis are provided for illustration. |
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