共查询到20条相似文献,搜索用时 46 毫秒
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构造了随机自相似分形及其上的记忆函数,并得出了有关结论,在此基础上,我们可以定义一个随机概率测度dΦn(τ)=Kn(τ)dτ,Φn(τ)弱收敛于Φ,进一步可得到强测度序列Ψn(.)=EΦn(.),则{Ψn}弱收敛于Ψ=EΦ. 相似文献
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构造了随机自相似分形及其上的记忆函数,并得出了有关结论,在此基础上,我们可以定义一个随机概率测度dΦn(τ)=Kn(τ)dτ,Φn(τ)弱收敛于Φ,进一步可得到强测度序列Ψn(·)=EΦn(·),则{Ψn}弱收敛于Ψ=EΦ. 相似文献
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讨论线性过程Xk=∑∞i=-∞ai+kεi,其中{εi;-∞<i<∞}是均值为零,方差有限为σ2的双侧无穷独立同分布随机变量序列,{ai;-∞< i<∞}为绝对可和的实数序列.令Sn=∑nl=1Xk,n≥1,假设|ε1|3<∞,证明了对任意的δ>-1,lim ∈↘0∈2δ+2∑∞n=1(㏒ ㏒ n)δ/n3/2㏒ nE{|Sn|-∈τ√2n ㏒ ㏒ n}+=√2τ√/√π(δ+1)(2δ+3)Γ(δ+2),其中τ2=σ2(∑∞i=-∞ai)2以及Γ(·)为Gamma函数. 相似文献
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设X(1/n+1),…,X(i/n+1),…,x(n/n+2)是定义在[0,1]上的随机过程X(t)的n个等距独立观察值,其中X(i/n+1),0<i/n+1≤r,服从公共连续分布F;X(i/n+1),τ<i/n+1<1,服从公共连续分布F*,F与F*不同;其中τ是过程X(t)的变点.用CUSUM及BrownianSheet方法给出了检测变点r位置的一个程序,并证明了所得结果是强相合的;同时也讨论了r的假设检验和区间估计. 相似文献
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本文考虑如下线性回归模型y_i=x_i~Tβ+e_i,i=1,2…,n,其中e_i=G(…,ε_(i-1),ε_i)是平稳相依误差,ε_i,i∈Z是独立同分布的随机变量.在非凸函数的情形下,得到了参数β的M-估计的线性表示,并由此得到两个应用:强收敛速度和正态分布.最后,用一模拟算例来说明本文方法的有效性. 相似文献
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樊守芳 《数学的实践与认识》2012,42(20)
对形如F_(n+p)=(sum from to i=1 to p)a_i(n)F_(n+i-1)~(b_i),n≥1的变系数非线性递归序列{F_n}的极限问题进行了研究,给出了在满足一定条件时,序列{F_n}收敛且极限值与初始值F_i>0,i=1,2,…,p无关. 相似文献
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Irina Grabovsky Lajos Horváth 《Annals of the Institute of Statistical Mathematics》2001,53(3):552-566
We suggest a modification of the CUSUM procedure to detect changes in angular data. We obtain limit theorems for the test statistics under the no change null hypothesis. We discuss the estimation of the times of changes and show that the binary segmentation provides the times of all changes. Our method is applied to a data set on the activity of a pulsar. 相似文献
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State-of-the-Art in Sequential Change-Point Detection 总被引:1,自引:0,他引:1
Aleksey S. Polunchenko Alexander G. Tartakovsky 《Methodology and Computing in Applied Probability》2012,14(3):649-684
We provide an overview of the state-of-the-art in the area of sequential change-point detection assuming discrete time and known pre- and post-change distributions. The overview spans over all major formulations of the underlying optimization problem, namely, Bayesian, generalized Bayesian, and minimax. We pay particular attention to the latest advances in each. Also, we link together the generalized Bayesian problem with multi-cyclic disorder detection in a stationary regime when the change occurs at a distant time horizon. We conclude with two case studies to illustrate the cutting edge of the field at work. 相似文献
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Lajos Horvth 《Journal of multivariate analysis》2001,78(2):161
We discuss some methods to test for possible changes in the parameters of a long-memory sequence. We obtain the limit distributions of the test statistics under the no-change null hypothesis. The consistency of the tests is also investigated. 相似文献
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本文主要讨论了变点的先验分布为beta-binomial分布
和Ibrahim等(2003)提出的幂型先验的条件下, 有一个变点的线性模型的贝叶斯统计推断问题,
并且我们假定变点两边的观测值的方差是相等的.
我们得到变点、回归系数、共同方差的后要分布的显示表达式.
本论文不仅把Ferrira(1975)论文从变点先验分布服从离散均匀分布推广到了更好描述变点
的形状的beta-binomial分布, 而且进一步将变点的先验分布推广到包含的历史信息的幂型先验.
当变点的先验分布为beta-binomial分布和幂型先验时,
模拟结果显示了贝叶斯方法具有更高的准确性. 相似文献
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本文讨论了尺度参数模型参数变点的假设检验问题\bd 基于两样本$U$\,-统计量, 我们给出了两个检验, 并且研究了检验统计量分布的极限性质\bd 我们证明了这两个检验统计量的极限分布分别是$\sup\limits_{0相似文献
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The asymptotic distribution of the change-point estimator in a jump changepoint model is considered.For the jump change-point model Xi =a + θI{[nTo] < i ≤n} + εi,where εi (i =1,…,n) are independent ide... 相似文献
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Oliver Johnson Dino Sejdinovic James Cruise Robert Piechocki Ayalvadi Ganesh 《Methodology and Computing in Applied Probability》2014,16(4):987-1008
Given the output of a data source taking values in a finite alphabet, we wish to estimate change-points, that is times when the statistical properties of the source change. Motivated by ideas of match lengths in information theory, we introduce a novel non-parametric estimator which we call CRECHE (CRossings Enumeration CHange Estimator). We present simulation evidence that this estimator performs well, both for simulated sources and for real data formed by concatenating text sources. For example, we show that we can accurately estimate the point at which a source changes from a Markov chain to an IID source with the same stationary distribution. Our estimator requires no assumptions about the form of the source distribution, and avoids the need to estimate its probabilities. Further, establishing a fluid limit and using martingale arguments. 相似文献
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研究自回归条件异方差(ARCH)模型的多变点检验问题.提出一种拟似然比检验统计量,并在原假设下给出统计量的极限分布.在假设检验过程中得到变点个数的一致估计.数值模拟与实例分析说明了方法的合理性. 相似文献