相依序列均值和方差变点的估计

Estimation on mean-variance change-point of dependent sequence

通过建立统计模型,构造均值、方差变点位置的CUSUM型估计量,研究线性相依序列均值方差同时存在变点的估计问题.考虑均值变点对方差变点的影响,通过均值变点估计量的收敛速度,在均值及均值变点已知与未知两种情况下分别分析方差变点问题,推导出方差变点估计量的收敛速度.

The linear dependent sequences estimate problem of mean-variance change-points exist at the same times is studied by establishing the statistical model and constracting the CUSUM statistics of mean and variance change points are.Considering the effect of mean change point,by calculating the convergence speed of mean change point estimator,two different cases of variance change points of mean and the mean change point known and unknown are analyzed,and the convergence speed of variance change point estimators are also calculated.