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Bootstrap Test for Stationarity of Heavy-Tailed Series with Structural Breaks 被引量：4

Bootstrap Test for Stationarity of Heavy-Tailed Series with Structural Breaks
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摘要 The paper proposes a statistic to test stationarity of series with κ-stable innovations and structural breaks,obtains the asymptotical distribution of the statistic,and proves the consistency of the test.To obtain critic values for the test without the estimation of the index κ,the paper proposes the bootstrap procedures to approximate the distribution,and proves the consistency of the procedures.The simulations demonstrate that the bootstrap test is practical and powerful. The paper proposes a statistic to test stationarity of series with κ-stable innovations and structural breaks,obtains the asymptotical distribution of the statistic,and proves the consistency of the test.To obtain critic values for the test without the estimation of the index κ,the paper proposes the bootstrap procedures to approximate the distribution,and proves the consistency of the procedures.The simulations demonstrate that the bootstrap test is practical and powerful.
作者 Rui Bing QIN Zheng TIAN
机构地区 Department of Applied Mathematics State Key Laboratory of Remote Sensing Science
出处 《Journal of Mathematical Research and Exposition》 CSCD 2010年第6期1015-1022,共8页 数学研究与评论（英文版）
基金 Supported by the National Natural Science Foundation of China (Grant Nos.10926197 60972150)
关键词 κ stable innovations structural breaks stationarity Heavy tails bootstrap. κ stable innovations structural breaks stationarity Heavy tails bootstrap.
分类号 O212.2 [理学—概率论与数理统计]
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参考文献13

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Journal of Mathematical Research and Exposition
2010年 第6期

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