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Testing for Changes in the Mean or Variance of Long Memory Processes 被引量：3

Testing for Changes in the Mean or Variance of Long Memory Processes
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摘要 In this paper, we study the asymptotic CUSUM tests for detecting changes in the mean or variance of a moving-average process with long memory. When there is no change over [O,T], the asymptotic distribution of the test statistic is derived, which allows us to find asymptotic critical values. When there is a change, the behavior of the test statistic is discussed. Conditions for the consistency of these tests are also discussed. Based on the asymptotic results, simulation studies of testing for changes in the mean show that the CUSUM test proposed performs well. In this paper, we study the asymptotic CUSUM tests for detecting changes in the mean or variance of a moving-average process with long memory. When there is no change over [O,T], the asymptotic distribution of the test statistic is derived, which allows us to find asymptotic critical values. When there is a change, the behavior of the test statistic is discussed. Conditions for the consistency of these tests are also discussed. Based on the asymptotic results, simulation studies of testing for changes in the mean show that the CUSUM test proposed performs well.
作者 Yun Xia LI Jian Jun XU Li Xin ZHANG
机构地区 School of Mathematics and Statistics Department of Mathematics
出处 《Acta Mathematica Sinica,English Series》 SCIE CSCD 2010年第12期2443-2460,共18页 数学学报（英文版）
基金 Supported by National Natural Science Foundation of China (Grant No. 10901136)
关键词 CHANGE-POINT moving-average process long memory invariance principle fractionalBrownian motion Change-point, moving-average process, long memory, invariance principle, fractionalBrownian motion
分类号 O212.1 [理学—概率论与数理统计] P632 [天文地球—地质矿产勘探]
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参考文献12

  • 1Csorgo, M., Horvath, L.: Limit Theorems in Change-point Analysis, Wiley, Chichester, 1997.
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  • 7Horvath, L., Steinebach, J.: Testing for changes in the mean or variance of a stochastic process under weak invariance. J. Statist. Plann. Inference, 91, 365-376 (2000).
  • 8Hidalgo, J., Robinson, P. M.: Testing for structural change in a long memory environment. J. Econometrics, 70, 159-174 (1996).
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Acta Mathematica Sinica,English Series
2010年 第12期

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