| 带趋势项的ARCH误差模型参数变化的残量检验 |
| |
| 引用本文： | 金浩,田铮. 带趋势项的ARCH误差模型参数变化的残量检验[J]. 数学研究及应用, 2009, 29(6): 1011-1021. DOI: 10.3770/j.issn:1000-341X.2009.06.008 |
| |
| 作者姓名： | 金浩 田铮 |
| |
| 作者单位： | 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; 遥感应用国家重点试验室, 中国科学院遥感应用研究所, 北京100101 |
| |
| 基金项目： | 国家自然科学基金(Nos.60375003; 60972150); 西北工业大学科技创新基金(No.2007KJ01033). |
| |
| 摘 要： | This paper analyzes the problem of testing for parameters change in ARCH errors models with deterministic trend based on residual cusum test. It is shown that the asymptotically limiting distribution of the residual cusum test statistic is still the sup of a standard Brownian bridge under null hypothesis. In order to check this, we carry out a Monte Carlo simulation and examine the return of IBM data. The results from both simulation and real data analysis support our claim. We also can explain this phenomenon from a theoretical viewpoint that the variance in ARCH model in mainly determined by its parameters.
|
| 关 键 词： | 累积和 参数变化 误差模型 残留 检验统计量 试验 蒙特卡罗模拟 ARCH模型 |
| 收稿时间： | 2007-11-13 |
| 修稿时间： | 2008-07-07 |
Residual Cusum Test for Parameters Change in ARCH Errors Models with Deterministic Trend |
| |
| JIN Hao and TIAN Zheng. Residual Cusum Test for Parameters Change in ARCH Errors Models with Deterministic Trend[J]. Journal of Mathematical Research with Applications, 2009, 29(6): 1011-1021. DOI: 10.3770/j.issn:1000-341X.2009.06.008 |
| |
| Authors: | JIN Hao and TIAN Zheng |
| |
| Affiliation: | Department of Applied Mathematics, Northwestern Polytechnical University, Shaanxi 710072, China;Department of Applied Mathematics, Northwestern Polytechnical University, Shaanxi 710072, China; State Key Laboratory of Remote Sensing Science, Chinese Academy of Science, Beijing 100101, China |
| |
| Abstract: | This paper analyzes the problem of testing for parameters change in ARCH errors models with deterministic trend based on residual cusum test. It is shown that the asymptotically limiting distribution of the residual cusum test statistic is still the sup of a standard Brownian bridge under null hypothesis. In order to check this, we carry out a Monte Carlo simulation and examine the return of IBM data. The results from both simulation and real data analysis support our claim. We also can explain this phenomenon from a theoretical viewpoint that the variance in ARCH model in mainly determined by its parameters. |
| |
| Keywords: | residual cusum test invariance principle Brownian bridge change point. |
| 本文献已被 维普 万方数据 等数据库收录！ |
| 点击此处可从《数学研究及应用》浏览原始摘要信息 |
|
点击此处可从《数学研究及应用》下载全文 |
