时间序列中参数变点的检测

数学季刊 ›› 2011, Vol. 26 ›› Issue (1): 120-124.

时间序列中参数变点的检测

1. School of Science, Xi'an University of Science and Technology2. Mining Engineering Post-doctoral, Xi'an University of Science and Technology

收稿日期:2007-05-31 出版日期:2011-03-30 发布日期:2023-05-12
作者简介:JIN Hao(1980- ), male, native of Changsha, Hunan, a lecturer of Xi’an University of Science and Technology, Ph.D., engages in nonlinear time series analysis; YANG Yun-feng(1978- ), male, native of Xianyang, Shaanxi, a lecturer of Xi’an University of Science and Technology, engages in nonlinear time seri es analysis.
基金资助:
Supported by NSFC(70783094)； Supported by XUST(2010039)；

Tests for Parameter Changes in Time Series

1. School of Science, Xi'an University of Science and Technology2. Mining Engineering Post-doctoral, Xi'an University of Science and Technology

Received:2007-05-31 Online:2011-03-30 Published:2023-05-12
About author:JIN Hao(1980- ), male, native of Changsha, Hunan, a lecturer of Xi’an University of Science and Technology, Ph.D., engages in nonlinear time series analysis; YANG Yun-feng(1978- ), male, native of Xianyang, Shaanxi, a lecturer of Xi’an University of Science and Technology, engages in nonlinear time seri es analysis.
Supported by:
Supported by NSFC(70783094)； Supported by XUST(2010039)；

摘要/Abstract

摘要： The paper considers the problem of testing for a change point in the parameters of AR(p) models. It is shown that the asymptotically limiting distribution of the residual CUSUM of squares test(RCUSQ) is still the sup of a standard Brownian bridge under null hypothesis. We also show via simulations that our asymptotic results provide good approximations in finite samples.

关键词: change point, Brownian bridge, RCUSQ test

Abstract: The paper considers the problem of testing for a change point in the parameters of AR(p) models. It is shown that the asymptotically limiting distribution of the residual CUSUM of squares test(RCUSQ) is still the sup of a standard Brownian bridge under null hypothesis. We also show via simulations that our asymptotic results provide good approximations in finite samples.

Key words: change point, Brownian bridge, RCUSQ test

中图分类号:

O211.61

金浩, 杨云锋. 时间序列中参数变点的检测[J]. 数学季刊, 2011, 26(1): 120-124.

JIN Hao, YANG Yun-feng. Tests for Parameter Changes in Time Series [J]. Chinese Quarterly Journal of Mathematics, 2011, 26(1): 120-124.