共查询到19条相似文献,搜索用时 94 毫秒
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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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面板数据的变点分析是计量经济学的热门研究课题之一,在金融、医学、质量控制、气象等领域也有着广泛的应用.基于一种快速局部算法SaRa (Screening and Ranking algorithm)研究了面板数据回归模型的结构变点估计问题.首先基于回归系数的估计量建立局部统计量,筛选出可能的变点.其次构造自适应阈值来筛选出最终的变点,并且证明了变点估计量的一致性.Monte Carlo模拟结果显示,当解释变量为外生变量或内生变量,误差项存在序列相关或异方差,提出的方法都能较准确地估计出变点的个数及位置.最后利用该方法分析世界24个低收入和高收入国家自然人口增长率和国际移民存量对人口增长率的影响,说明了方法的有效性. 相似文献
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A wavelet method of detection and estimation of change points in nonparametric regression models under random design is proposed. The confidence bound of our test is derived by using the test statistics based on empirical wavelet coefficients as obtained by wavelet transformation of the data which is observed with noise. Moreover, the consistence of the test is proved while the rate of convergence is given. The method turns out to be effective after being tested on simulated examples and applied to IBM stock market data. 相似文献
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本文提出了一种基于随机选择投影方向的PP型棉球等高分布族的拟合优度检验,其特点是计算上较通常的PP检验统计量简单.得到了其检验统计量在零假设下的极限分布,讨论了其Bootstrap逼近及逼近的相容性. 相似文献
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随机设计下非参数回归模型方差变点Ratio检验 总被引:1,自引:1,他引:0
研究随机设计下非参数回归模型方差变点Ratio检验.首先用局部多项式方法估计回归曲线得到残差序列,其次基于残差的平方序列构造Ratio检验统计量并推导检验统计量的极限分布.最后数值模拟与实例分析结果表明方法的有效性. 相似文献
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基于Kolmogrov型统计量和Kiefer过程,对一样本情形,我们讨论了二阶随机控制变点的检验和估计到了检验统计量的渐近分布且用模拟方法给出了其有限样本的分位数,并证明了变点的估计为强相合的。 相似文献
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The twin-web disk holds big promise for increasing efficiency of the aircraft engine. Its reliability-based multidisciplinary design optimization involves several disciplines including fluid mechanics, heat transfer, structural strength, and vibration. The solution to this optimization problem requires three-loop calculations including loops for optimization, reliability, and interdisciplinary consistence often making its computational cost unacceptably high. The lack of sufficient amount of probabilistic data, especially for this brand-new turbine disk, makes matters worse. In this paper, the non-probabilistic uncertain variables are described by an evidence theory-based fuzzy set method, which we extend to general structure of uncertain data. We also propose two modifications of the active learning kriging model: one of them for the purpose of optimization with respect to the distance from the optimum point and another one for the purpose of assessing reliability by introducing the importance concept. Applications of these two modifications are demonstrated in this paper. Finally, a multi-adaptive learning kriging strategy for non-probabilistic reliability-based multidisciplinary design optimization of twin-web disk is proposed to improve its power efficiency and reliability in a computationally effective way. 相似文献
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Single index models are widely used in medicine, econometrics and some other fields. In this paper, we consider the inference of a change point problem in single index models. Based on density-weighted average derivative estimation (ADE) method, we propose a statistic to test whether a change point exists or not. The null distribution of the test statistic is obtained using a permutation technique. The permuted statistic is rigorously shown to have the same distribution in the limiting sense under both null and alternative hypotheses. After the null hypothesis of no change point is rejected, an ADE-based estimate of the change point is proposed under assumption that the change point is unique. A simulation study confirms the theoretical results. 相似文献
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本文讨论一阶自回归模型自回归参数$\phi$的变点问题. 对于一阶自回归模型, 在模型的白噪声序列的方差$\sigma^2$已知和未知的条件下, 利用最大似然方法, 我们分别讨论了模型自回归参数$\phi$的Abrupt Change-Point 和Gradual Change-Point的检测问题. 相似文献
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在NA相依样本下,研究固定设计非参数回归权函数估计的强相合性和完全收敛性,获得了一些较合理的充分条件,较好地推广和改进了Georgiev在独立情形下所得到的相应结论。 相似文献