| 含结构变点的厚尾序列平稳性的Bootstrap检验 |
| |
| 引用本文： | 秦瑞兵,田铮.含结构变点的厚尾序列平稳性的Bootstrap检验[J].数学研究与评论,2010,30(6):1015-1022. |
| |
| 作者姓名： | 秦瑞兵 田铮 |
| |
| 作者单位： | 西北工业大学应用数学系, 陕西 西安 710072;西北工业大学应用数学系, 陕西 西安 710072; 国家遥感科学重点实验室, 北京 100101 |
| |
| 基金项目： | 国家自然科学基金 (Grant Nos.10926197; 60972150). |
| |
| 摘 要： | The paper proposes a statistic to test stationarity of series with κ-stable innovations and structural breaks,obtains the asymptotical distribution of the statistic,and proves the consistency of the test.To obtain critic values for the test without the estimation of the index κ,the paper proposes the bootstrap procedures to approximate the distribution,and proves the consistency of the procedures.The simulations demonstrate that the bootstrap test is practical and powerful.
|
| 关 键 词： | κ stable innovations structural breaks stationarity Heavy tails bootstrap. |
| 收稿时间： | 2009/1/16 0:00:00 |
| 修稿时间： | 2009/10/28 0:00:00 |
Bootstrap Test for Stationarity of Heavy-Tailed Series with Structural Breaks |
| |
| Rui Bing QIN and Zheng TIAN.Bootstrap Test for Stationarity of Heavy-Tailed Series with Structural Breaks[J].Journal of Mathematical Research and Exposition,2010,30(6):1015-1022. |
| |
| Authors: | Rui Bing QIN and Zheng TIAN |
| |
| Institution: | 1. Department of Applied Mathematics,Northwestern Polytechnical University,Shaanxi 710072,P.R.China
2. Department of Applied Mathematics,Northwestern Polytechnical University,Shaanxi 710072,P.R.China;State Key Laboratory of Remote Sensing Science,Beijing 100101,P.R.China |
| |
| Abstract: | The paper proposes a statistic to test stationarity of series with $\kappa$-stable innovations and structural breaks, obtains the asymptotical distribution of the statistic, and proves the consistency of the test. To obtain critic values for the test without the estimation of the index $\kappa$, the paper proposes the bootstrap procedures to approximate the distribution, and proves the consistency of the procedures. The simulations demonstrate that the bootstrap test is practical and powerful. |
| |
| Keywords: | $\kappa$ stable innovations structural breaks stationarity Heavy tails bootstrap |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
| 点击此处可从《数学研究与评论》浏览原始摘要信息 |
| 点击此处可从《数学研究与评论》下载免费的PDF全文 |
