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研究随机设计下非参函数变点的小波检测与估计问题.将小波方法与设计点转化方法相结合给出变点的检测统计量并研究检测的一致性.给出了变点个数和变点位置的估计量,证明了变点个数估计量的相合性并得到变点位置估计量的收敛速度. 相似文献
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本文介绍了一个有效的处理高维变点问题的方法。我们先将数据矩阵使用主成分分析的方法投影到低维空间,然后再利用传统变点的方法来进行估计。在变点个数未知时,我们使用交叉核实的方法来估计变点个数。在数值模拟研究中,我们将新方法同一些已有的方法进行了比较,在估计的准确度和计算时间等方面都要优于其他方法。 相似文献
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研究随机设计下噪声为厚尾随机变量时非参数函数中的变点估计问题.首先,通过设计变换将随机设计转化为等间距固定设计,进而利用小波方法估计变换后的变点的位置,再利用逆设计变换求得随机设计下变点位置的估计,并给出估计的收敛速度.模拟研究结果说明对于无穷方差厚尾过程中的变点估计问题小波方法是有效的. 相似文献
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本文讨论了正态分布方差只有一个变点的检验问题,我们构造了三个检验统计量,其中L检验基于非参数U统计量,B检验基于Bayes方法,R检验由极大似然比方法导出.本文给出了L、B、R检验的渐近临界值,并用MonteCarlo模拟方法研究了这三个检验与平方的CUSUM检验以及LM检验的势,并进行了比较。当变点在序列的前一半位置时,L和R检验较好,当变点在序列的后一半位置时,平方的CUSUM和B检验较好. 相似文献
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变点统计分析简介(Ⅳ)局部比较法 总被引:1,自引:0,他引:1
一、方法的思想 在变点附近的“局部”中,某种量有了显著变化,它可以通过适当的估计去显示出来.在非变点附近的局部中,量保持稳定.这个差别就提供了发现变点的一个一般性方法:考察某种有针对性的统计量在各个“局部”内的变化,取其最显著之处作为变点位置的估计.当然,即使某个点非变点,但随机误差可能偶然以一种方式出现,使人误以为该处有显著变化,相反的情况也存在.这就需要通过检验来判定,那种程度的变化可视为显著的或随机性的,这涉及复杂的分布问题. 这个方法可用于种种模型,但在本文中,我们将只介绍其在一个简单模型──均值变点模型下… 相似文献
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In this paper, the so-called local likelihood method is suggested for solving the change point problems when the data are distributed as multivariate normal. The detection procedures proposed not only provide strongly consistent estimates for the number and locations of the change points, but also simplify significantly the computation. 相似文献
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本文主要研究了非参数回归模型中方差函数的变点, 利用小波方法构造的检验量来检测方差中的变点,建立了这些检验量的渐近分布, 并且运用这些检验量构造了方差变点的位置和跳跃幅度的估计, 给出了这些估计的渐近性质, 并进一步通过随机模拟验证了本文方法在有限样本下的性质. 相似文献
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On detection of change points using mean vectors 总被引:1,自引:0,他引:1
In this paper, the authors consider the problem of change points within the framework of model selection and propose a procedure for estimating the locations of change points when the number of change points is known. The strong consistency of this procedure is also established. The problem of detecting change points is discussed within the framework of the simultaneous test procedure. The case where the number of change points is unknown will be discussed in another paper.This project is supported by the National Natural Science Foundation of China and by the Air Office of Scientific Research of the United States. 相似文献
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The addition of a constant ‘competing risk’ corresponding to an additional, usually less significant, source of failure, frequently improves the fit in reliability and survival analysis. This is often termed a ‘lift’, as the effect is to increase the hazard rate (HR) function by a constant, which does not, of course, change the shape and hence the turning points of the HR function. However, lifting the HR function does not, in general, mean lowering the corresponding mean residual life (MRL) function by a constant, and so the MRL turning points, unlike those of the HR function are not invariant. The MRL turning points are used in, for example, defining burn‐in procedures in reliability engineering, and determining premiums in insurance. Hence, it is of interest to examine the changes in the shape of the MRL function, and in the locations of its turning points, resulting from a lift in the HR function. We discuss these problems in detail, with reference to a number of common distributions in reliability and mortality modeling. Copyright © 2007 John Wiley & Sons, Ltd. 相似文献
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Ahmed Wasif Reza Kaharudin Dimyati Kamarul Ariffin Noordin A. S. M. Zahid Kausar Md. Sumon Sarker 《Optimization Letters》2014,8(1):145-157
Coverage optimization using minimum number of transmitters is critical to service providers and vendors that need to control the coverage as well as the huge costs involved. In this regards, an existing coverage algorithm for determining the minimum number of transmitting antennas as well as their appropriate locations to provide the optimized wireless coverage for indoor environment is studied in this paper. The algorithm uses ray-tracing to predict the signal distribution from the transmitter to the sampling points (receivers) and genetic algorithm to determine the minimum number of transmitters and their corresponding locations to achieve the optimum wireless coverage. The complexity and performance of the algorithm are also analyzed and it is found that it has exponentially increasing complexity of $2^{n}$ and the change of computation time is greater with small change of the number of receiving points. Moreover, under the multi-transmitter scenario (real case), the accuracy achieved by fading, coverage ability, and signal to noise ratio is in the range of 96–99 %. 相似文献
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Modeling short‐term post‐offering price–volume relationships using Bayesian change‐point panel quantile regression 下载免费PDF全文
We propose a special panel quantile regression model with multiple stochastic change‐points to analyze latent structural breaks in the short‐term post‐offering price–volume relationships in China's growth enterprise market where the piecewise quantile equations are defined by change point indication functions. We also develop a new Bayesian inference and Markov chain Monte Carlo simulation approach to estimate the parameters, including the locations of change points, and put forth simulation‐based posterior Bayesian factor tests to find the best number of change points. Our empirical evidence suggests that the single change point effect is significant on quantile‐based price–volume relationships in China's growth enterprise market. The lagged initial public offering (IPO) return and the IPO volume rate of change have positive impacts on the current IPO return before and after the change point. Along with investors' gradually declining hot sentiment toward a new IPO, the market index volume rate of change induces the abnormal short‐term post‐offering IPO return to move back to the equilibrium. Copyright © 2015 John Wiley & Sons, Ltd. 相似文献
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John G. Klincewicz 《Annals of Operations Research》2002,110(1-4):107-122
Within a communications or transportation network, in which a number of locations exchange material or information, hubs can be used as intermediate switching points. In this way, traffic can be consolidated on inter-hub links and, thus, achieve economies of scale in transport costs. Recently, O'Kelly and Brian in 1998 proposed a model (termed the FLOWLOC model) that treats these economies of scale by means of piecewise-linear concave cost functions on the interhub arcs. We show that, for a fixed set of hubs, the FLOWLOC model can be solved using the classic Uncapacitated Facility Location Problem (UFLP). This observation then motivates an optimal enumeration procedure for the FLOWLOC model, as well as some search heuristics that are based upon tabu search and greedy random adaptive search procedures (GRASP). These search procedures would be especially applicable for large-sized problems. Some computational experience is described. 相似文献
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This paper investigates a class of single-facility location problems on an arbitrary network. Necessary and sufficient conditions are obtained for characterizing locally optimal locations with respect to a certain nonlinear objective function. This approach produces a number of new results for locating a facility on an arbitrary network, and in addition it unifies several known results for the special case of tree networks. It also suggests algorithmic procedures for obtaining such optimal locations. 相似文献
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Since the workload of a manufacturing system changes over time, the material handling equipment used in the facility will be idle at certain time intervals to avoid system overload. In this context, a relevant control problem in operating an automated guided vehicle (AGV) system is where to locate idle vehicles. These locations, called dwell points, establish the response times for AVG requests. In this article, a dynamic programming algorithm to solve idle vehicle positioning problems in unidirectional single loop systems is developed to minimize the maximum response time considering restrictions on vehicle time available to travel and load/unload requests. This polynomial time algorithm finds optimal dwell points when all requests from a given pick-up station are handled by a single AGV. The proposed algorithm is used to study the change in maximum response time as a function of the number of vehicles in the system. 相似文献
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We address the statistical problem of detecting change points in the stress‐strength reliability R=P(X<Y) in a sequence of paired variables (X,Y). Without specifying their underlying distributions, we embed this nonparametric problem into a parametric framework and apply the maximum likelihood method via a dynamic programming approach to determine the locations of the change points in R. Under some mild conditions, we show the consistency and asymptotic properties of the procedure to locate the change points. Simulation experiments reveal that, in comparison with existing parametric and nonparametric change‐point detection methods, our proposed method performs well in detecting both single and multiple change points in R in terms of the accuracy of the location estimation and the computation time. Applications to real data demonstrate the usefulness of our proposed methodology for detecting the change points in the stress‐strength reliability R. Supplementary materials are available online. 相似文献