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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. DOI: 10.3770/j.issn:1000-341X.2011.01.009 |
| 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： | 2009-03-23 |
| 修稿时间： | 2010-05-28 |
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. DOI: 10.3770/j.issn:1000-341X.2011.01.009 | |
| Authors: | Hao JIN Zheng TIAN Yun Feng YANG |
| Affiliation: | 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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