摘要
这份报纸建议动人的比率测试，它是由包含一个带宽参数的比率测试的一个修改版本，到在坚持检测多重变化，并且决定方向切换。asymptotic 分发以及它的一致性被建立。为了估计变化，指，作者建议二条步估计途径。模拟说明有限样品的测试和估计过程的表演。到瑞典 / 美国外汇率的分析的应用在实践表明过程的有效性。
This paper proposes a moving ratio test, which is a modified version of ratio test by involving a bandwidth parameter, to detect multiple changes in persistence, and to determine the direction of switch. The asymptotic distribution as well as its consistency are established. In order to estimate the change points, the authors propose a two step estimate approach. Simulations illustrate the performance of the test and estimate procedures in finite samples. An application to the analysis of Sweden/US foreign exchange rate demonstrates the validity of the procedure in practice.
基金
supported by the National Natural Science Foundation of China under Grant Nos.61065009 and 60972150
