摘要
对平稳过程趋势项中的变点检测问题,基于最小二乘估计残差构造CUSUM型统计量.同时,在原假设下得到了其渐近分布,在备择假设下证明了该检验的容许性.蒙特卡罗数值模拟表明,文中所给检验在检验趋势项系数变点时具有较好的势,且犯第一类错误的概率较小.
A CUSUM test for the detection of change in stochastic trend with stationary innovations is proposed.The asymptotic distribution is obtained under the null hypothesis,and the consistency of the proposed test is established.The Monte Carlo simulations demonstrate that the proposed test has a good size and high power.
出处
《纺织高校基础科学学报》
CAS
2017年第2期226-229,共4页
Basic Sciences Journal of Textile Universities
基金
国家自然科学基金资助项目(71501115)
中国博士后基金资助项目(2012M510772)
关键词
平稳过程
趋势项
变点
CUSUM检验
stationary process
stochastic trend
change point
CUSUM test
