摘要
文章基于多元T分布和施瓦茨信息准则(SIC)研究了多元回归模型的参数估计方法和变点检测问题。首先将多元T分布看成多元正态分布的混合分布,进而应用EM算法得到了模型的参数估计方法;然后,利用SIC信息准则提出了模型中变点识别方法。数值模拟分析进一步验证了所提的估计方法及其SIC准则变点检测方法的有效性。最后,应用SIC准则方法研究了上证指数数据的变点检测问题。
This paper is based on multivariate T distribution and Schwarz information criterion(SIC)to study the parameter estimation method and change point detection for multivariate regression model.Firstly,the paper takes the multivariate T distribution as the mixture of multivariate normal distribution and uses the EM algorithm to obtain the parameter estimation method of the model,and then employs SIC to propose the detection method for the change point in the model.Numerical simulation analysis further verifies the validity of the proposed estimation method and its SIC change point detection method.Finally,the paper uses SIC method to study the change point detection for the data of Shanghai securities composite index.
作者
胡丹青
赵为华
Hu Danqing;Zhao Weihua(School of Science,Nantong University,Nantong Jiangsu 226019,China)
出处
《统计与决策》
CSSCI
北大核心
2021年第2期34-38,共5页
Statistics & Decision
基金
国家社会科学基金资助项目(15BTJ027)
关键词
多元响应变量
多元T分布
EM算法
SIC准则
变点
multivariate response variable
multivariate T distribution
EM algorithm
Schwarz information criterion
change point