相依误差下非参数回归模型的方差变点Ratio检验

The Ratio Test for Change Point Detection in Nonparametric Regression Model with Dependent Errors

运用Ratio检验方法研究相依误差下非参数回归模型的方差变点检验.首先利用核估计方法估计模型中的回归函数得到残差序列,其次利用残差序列构造Ratio检验统计量,并推导检验统计量的极限分布,最后通过数值模拟验证检验方法的有效性.

The detection problem of change point in nonparametric regression model with dependent errors is consid- ered by Ratio test. The residual sequence is obtained when the regression function is estimated by kernel smoothers and the ratio test statistics is established based on the residual sequence. Asymptotic properties of the test statistics are derived. The performance of the method is illustrated by simulation studies.