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| 门限自回归模型条件异方差的Kolmogorov-Smirnov检验 | |
| 引用本文： | 陈敏. 门限自回归模型条件异方差的Kolmogorov-Smirnov检验[J]. 应用数学学报, 2002, 25(4): 577-590 |
| 作者姓名： | 陈敏 |
| 作者单位： | 中国科学院数学与系统科学研究院,北京,100080 |
| 基金项目： | 中国科学院知识创新工程项目(No.KZCX2-SW-118)，国家自然科学基金(19971093号)资助项目 |
| 摘 要： | 门限自回归模型被广泛地用于许多领域，当建立或使用这类模型时，一个重要问题是需要知道是否存在条件异方差。在本文中，我们对这个问题提出一个非参数检验，检验的大样本理论被给出，我们还通过数值模拟研究了检验方法的有限样本性质。结果表示检验有好的功效。经验百分位点还被给出。 |
| 关 键 词： | 门限自回归模型 Kolmogorov－Smirnov检验 条件异方差 经验百分位点 |
A KOLMOGOROV-SMIRNOV TEST OF CONDITIONAL HETEROSCEDASTICITY FOR THRESHOLD AUTOREGRESSIVE MODELS |
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| CHEN MIN. A KOLMOGOROV-SMIRNOV TEST OF CONDITIONAL HETEROSCEDASTICITY FOR THRESHOLD AUTOREGRESSIVE MODELS[J]. Acta Mathematicae Applicatae Sinica, 2002, 25(4): 577-590 | |
| Authors: | CHEN MIN |
| Abstract: | Threshold autoregressive models are widely used in time series applications. When building or using such a model, it is important to know whether conditional het-eroscedasticity exists. We propose a test in this paper for this purpose. The large sample theory of the proposed test is developed and the finite sample properties of the test are studied through simulations. We find that the proposed test has very good power in detecting conditional heteroscedasticity. Percentage points for carrying out the test in practice are provided. |
| Keywords: | Threshold autoregressive model Kolmogorov-Smirnov type test conditional heteroscedasticity empirical percentage |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |