一阶自回归模型参数变点的假设检验(英文)

Testing for Change-Point of the First-Order Autoregressive Time Series Models

本文讨论一阶自回归模型自回归参数Ф的变点问题,对于一阶自回归模型,在模型的自噪声序列的方差σ^2已知和未知的条件下,利用最大似然方法,我们分别讨论了模型自回归参数Ф的Abrupt Change-Point和Gradual Change-Pointt的检测问题.

In this paper, we consider the change point problem with the autocorrelated coefficient Ф in the first-order autoregressive time series models when the variance σ^2 is known and unknown. Using maximum likelihood method, we respectively discuss the abrupt change point and the gradual change point problems for the autocorrelated coefficient in first-order autoregressive time series models. With several situations, we propose some test statistics detecting the change point of the first-order autoregressive time series models and give the methods for detecting abrupt change point and gradual change point.