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ARCH模型分布变点监测与应用
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作者 李拂晓 田铮 陈占寿 《数学的实践与认识》 北大核心 2015年第2期211-218,共8页
分布变点监测是时间序列交点分析的一个重要内容.为将分布交点监测从线性时间序列模型拓展到非线性时间序列模型,提出一种经验特征函数型的统计量监测ARCH模型误差项平方的分布变点,给出了监测统计量在原假设下的极限分布,并证明了此方... 分布变点监测是时间序列交点分析的一个重要内容.为将分布交点监测从线性时间序列模型拓展到非线性时间序列模型,提出一种经验特征函数型的统计量监测ARCH模型误差项平方的分布变点,给出了监测统计量在原假设下的极限分布,并证明了此方法的一致性,用Bootstrap重抽样方法获得了极限分布的临界值,并和Kolmogorov-smirnov型监测统计量进行了比较.模拟结果和实例分析说明了当已观测样本量较大时,采用经验特征函数型统计量监测效果较好. 展开更多
关键词 ARCH模型 分布变点检测 经验特征函数
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Stochastic differential equation software reliability growth model with change-point 被引量:1
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作者 张楠 Cui Gang +1 位作者 Shu Yanjun Liu Hongwei 《High Technology Letters》 EI CAS 2014年第4期383-389,共7页
This paper presents software reliability growth models(SRGMs) with change-point based on the stochastic differential equation(SDE).Although SRGMs based on SDE have been developed in a large scale software system,consi... This paper presents software reliability growth models(SRGMs) with change-point based on the stochastic differential equation(SDE).Although SRGMs based on SDE have been developed in a large scale software system,considering the variation of failure distribution in the existing models during testing time is limited.These SDE SRGMs assume that failures have the same distribution.However,in practice,the fault detection rate can be affected by some factors and may be changed at certain point as time proceeds.With respect to this issue,in this paper,SDE SRGMs with changepoint are proposed to precisely reflect the variations of the failure distribution.A real data set is used to evaluate the new models.The experimental results show that the proposed models have a fairly accurate prediction capability. 展开更多
关键词 software reliability continuous state space stochastic differential equation (SDE) CHANGE-POINT
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