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| IV模型中变点序贯检验方法 | |
| 引用本文： | 夏志明,赵文芝,濮晓龙,郭鹏江.IV模型中变点序贯检验方法[J].应用概率统计,2012,28(2):113-122. |
| 作者姓名： | 夏志明 赵文芝 濮晓龙 郭鹏江 |
| 作者单位： | 1. 西北大学数学系,西安,710069 2. 西安工程大学理学院,西安,710048 3. 华东师范大学金融与统计学院,上海,200241 |
| 基金项目： | 国家自然科学基金天元基金(11026135,11126312);教育部人文社科一般项目(10YJC910007);陕西省13115科技创新工程(2009ZDTG-85);陕西省教育厅项目(2010JK561)资助 |
| 摘 要： | 本文研究了IV模型中变点序贯检验问题.提出了基于加权残差部分和(weighted-CUSUM)的检验统计量.证明了其在原假设和备择假设下的极限性质.该检验方法在特征量与跃度非正交性条件下,当δ=1/2具有非平凡势,而当0≤δ<1/2时,则是相合的. |
| 关 键 词： | 变点 跃度 IV模型 weighted-CUSUM |
Monitoring Change Points in IV Models |
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| XIA ZHIMING , ZHAO WENZHI , PU XIAOLONG , GUO PENGJIANG.Monitoring Change Points in IV Models[J].Chinese Journal of Applied Probability and Statisties,2012,28(2):113-122. | |
| Authors: | XIA ZHIMING ZHAO WENZHI PU XIAOLONG GUO PENGJIANG |
| Institution: | Department of Mathematics,Northwest University, School of Science, Xi'an Polytechnic University,School of Finance and Statistics, East China Normal University, Shanghai |
| Abstract: | This paper studies how to detect change points in IV models.LM method is proposed based on weighted residual partial sum.The asymptotic properties under null or alternative hypothesis are proved.Under some non-orthogonality condition,the test has non-trivial power whenδ=1/2 and will be consistent when 0≤δ<1/2. |
| Keywords: | Change points jump size IV models weighted-CUSUM |
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