无穷方差序列均值变点的Ratio检验

Ratio test for mean change-point in infinite variances sequence

研究了无穷方差序列均值变点的检测问题.首先基于 CUSUM 函数,通过 Ratio 检验方法,构造无穷方差序列均值变点的比率检验统计量,其次证明了检验统计量在原假设和备择假设下的极限分布,最后数值模拟表明本方法对无穷方差序列均值变点检测的有效性.

This paper considers the Ratio method to detect change-point in the mean of in nite variance sequence. Firstly , The test statistic is constructed. Secondly , Under the null hypothesis, the asymptotic distribution of test statistic is obtained. Under the alternative, the consistency of the test statistic is proved. Lastly , The excellent performance of our method is demonstrated through Monte Carlo simulations.