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| 改进的自回归过程结构变点检验 | |
| 引用本文： | 金浩,田铮,杨云峰.改进的自回归过程结构变点检验[J].数学研究及应用,2011,31(1):79-90. |
| 作者姓名： | 金浩 田铮 杨云峰 |
| 作者单位： | 西安科技大学理学院, 陕西 西安 710054; 西北工业大学理学院, 陕西 西安 710072;西北工业大学理学院, 陕西 西安 710072; 遥感应用研究所国家重点实验室,中科院自动化所, 北京 100080;西安科技大学理学院, 陕西 西安 710054 |
| 基金项目： | 国家自然科学基金(Grant 70873094; 08&ZD046; 10926197;2010039). |
| 摘 要： | In this paper, we consider the problem of detecting for structural changes in the autoregressive processes including AR（p） process. In performing a test, we employ the conventional residual CUSUM of squares test （RCUSQ） statistic. The RCUSQ test is based on the subsampling method introduced by Jach and Kokoszka J. Methodology and Computing in Applied Probability 25（2004）]. It is shown that under regularity conditions, the asymptotic distribution of the test statistic is the function of a standard Brownian bridge. Simulation results as to AR（1） process and an example of real data analysis are provided for illustration. |
| 关 键 词： | subsampling RCUSQ test Brownian bridge structural changes |
| 收稿时间： | 2009/3/23 0:00:00 |
| 修稿时间： | 2010/5/28 0:00:00 |
Modified Testing for Structural Changes in Autoregressive Processes |
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| Hao JIN,Zheng TIAN and Yun Feng YANG.Modified Testing for Structural Changes in Autoregressive Processes[J].Journal of Mathematical Research with Applications,2011,31(1):79-90. | |
| Authors: | Hao JIN Zheng TIAN and Yun Feng YANG |
| Institution: | 1. School of Science,Xi'an University of Science and Technology,Shaanxi 710054,P.R.China;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,Chinese Academy of Sciences,Beijing 100101,P.R.China 3. School of Science,Xi'an University of Science and Technology,Shaanxi 710054,P.R.China |
| Abstract: | In this paper, we consider the problem of detecting for structural changes in the autoregressive processes including AR($p$) process. In performing a test, we employ the conventional residual CUSUM of squares test (RCUSQ) statistic. The RCUSQ test is based on the subsampling method introduced by Jach and Kokoszka J. Methodology and Computing in Applied Probability 25(2004)]. It is shown that under regularity conditions, the asymptotic distribution of the test statistic is the function of a standard Brownian bridge. Simulation results as to AR(1) process and an example of real data analysis are provided for illustration. |
| Keywords: | subsampling RCUSQ test Brownian bridge structural changes |
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