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| 非参数模型均值函数结构变点的Bootstrap检测 | |
| 引用本文： | 赵春辉,田铮,陈占寿.非参数模型均值函数结构变点的Bootstrap检测[J].数理统计与管理,2011,30(4):629-638. |
| 作者姓名： | 赵春辉 田铮 陈占寿 |
| 作者单位： | 1. 西北工业大学应用数学系,陕西西安,710072 2. 西北工业大学应用数学系,陕西西安710072 中国科学院遥感应用研究所遥感科学国家重点实验室,北京100101 3. 西北工业大学应用数学系,陕西西安710072 青海师范大学数学系,青海西宁810008 |
| 基金项目： | 国家自然科学基金(60375003,60972150); 西北工业大学科技创新基金(2007KJ01033) |
| 摘 要： | 本文检测非参数回归模型均值函数结构变点,针对均值函数跃度的长期均值为零时,基于残量的CUSUM统计量对均值函数结构变点检验无效的问题,本文提出了一种基于均值函数的核估计的检验统计量,得到统计量在原假设和备择假设下的极限分布,并构造Bootstrap方法对非参数回归模型均值函数结构变点进行检验,证明了检验和估计的一致性;模拟结果表明本文方法明显优于已有方法。 |
| 关 键 词： | 非参数 均值函数 结构变点 核估计 Bootstrap检验 |
Bootstrap Test for Structural Break of Mean Function in Nonparametric Models |
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| ZHAO Chun-hui TIAN Zheng CHEN Zhan-shou.Bootstrap Test for Structural Break of Mean Function in Nonparametric Models[J].Application of Statistics and Management,2011,30(4):629-638. | |
| Authors: | ZHAO Chun-hui TIAN Zheng CHEN Zhan-shou |
| Institution: | ZHAO Chun-hui~1 TIAN Zheng~(1,2) CHEN Zhan-shou~(1,3) (1.Northwestern Polytechnical University,Department of Applied Mathematic,Shaanxi Xi'an 710072,China,2.State Key Laboratory of Remote Sensing Science,Institute of Remote Sensing Applications,Chinese Academy of Sciences,Beijing 100101,3.Department of Mathematics,Qinghai Normal University,Xi'ning,Qinghai 810008,China) |
| Abstract: | This paper tests the mean function's structural break in nonparametric models.For the residual based CUSUM test has local power equal to size when the long run average mean of the mean function's jump is small.A new test based on the mean function's kernel estimation is considered,and it's limit behaviors under the null hypothesis and alternative are proved.A bootstrap procedure is proposed and the consistency both of the test and estimation are also proved.Simulation results show that our method is more po... |
| Keywords: | nonparametric mean function structural break kernel estimation bootstrap test |
| 本文献已被 CNKI 万方数据 等数据库收录！ | |