最小二乘法对多变点检验的性能研究

Simulation Study on the Power of Least-squares Test for Detecting Multiple Breaks

给出了衡量最小二乘法识别多变点能力的方法,模拟研究了最小二乘法对不同数据生成过程的多变点检测效果,指出了最小二乘法的适用性,最后应用最小二乘法检测了中国主要经济部门的GDP变点.

In this paper,a novel scheme to measure the power of least-squares test for checking multiple breaks is presented as well its applicability to various stream data processing systems discussed firstly, Also a conclusion is given that Least Square method can be suitable for mean break model,that signal-to-noise ratio closely related to the test power will be indicated too,Finally,the GDP breaks from China s major economic sectors are detected}.