摘要
讨论了新息过程为p阶厚尾自回归过程的均值变点检验问题.基于修正的Ratio检验统计量,在原假设下证明了统计量的极限分布是Lévy过程的泛函,并得到在备择假设下的一致性.为了避免对未知参数的估计,采用Bootstrap子抽样方法以得到更精确的统计量临界值.蒙特卡洛模拟表明,基于Bootstrap方法的Ratio检验统计量不仅很好地控制了经验水平,且经验势也达到令人满意的效果.
The problem of mean changes test when the innovation process is a p-order heavy-tailed autoregressive process is examined.On the basis of the modified ratio statistic,we prove that the limiting distribution of the ratio statistic is a functional of Lévy process under the original hypothesis,and the consistency is obtained under the alternative hypothesis.To avoid estimation of the unknown parameters,we adopt a bootstrap method to return more accurate critical values.Monte Carlo simulation shows that the bootstrap-based ratio test statistic not only well controls the empirical sizes,but also achieves the satisfactory empirical powers.
作者
乔瑞
杨云锋
金浩
QIAO Rui;YANG Yunfeng;JIN Hao(School of Science,Xi’an University of Science and Technology,Xi’an 710054,China)
出处
《昆明理工大学学报(自然科学版)》
北大核心
2022年第2期175-184,共10页
Journal of Kunming University of Science and Technology(Natural Science)
基金
国家自然科学基金项目(71473194)
陕西省科技厅自然科学基金项目(2020JM513)。