| 具有AR(1)误差的均值漂移模型的Score检验和似然比检验 |
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| 引用本文： | 柳庆新,夏乐天,王建锋.具有AR(1)误差的均值漂移模型的Score检验和似然比检验[J].数学的实践与认识,2009,39(2). |
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| 作者姓名： | 柳庆新 夏乐天 王建锋 |
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| 作者单位： | 河海大学,理学院,江苏,南京,210098 |
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| 摘 要： | 讨论了具有AR(1)误差的线性均值漂移模型,研究了自相关性的检验问题,导出了关于误差相关性的Score检验统计量和似然比检验统计量,并把它推广到误差项为AR(1)非线性均值漂移模型.本文还给出了一个数值例子说明检验方法的实用性.
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| 关 键 词： | 均值漂移模型 AR(1)误差 Score检验 似然比检验 |
Correlation Test for Mean-shift Model with AR(1) Errors |
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| LIU Qing-xin,XIA Le-tian,WANG Jian-feng.Correlation Test for Mean-shift Model with AR(1) Errors[J].Mathematics in Practice and Theory,2009,39(2). |
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| Authors: | LIU Qing-xin XIA Le-tian WANG Jian-feng |
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| Abstract: | This article discusses the linear mean-shift model with AR(1) errors,studying the autocorrelation test,bring about the Score test statistics and likelihood ratio test statistics regarding the error correlation.Further,the results are extended to the nonlinear mean-shift models with error AR(1).We also give a numerical example to illustrate the practicability of the test methods. |
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| Keywords: | Mean-shift model AR(1) error score test likelihood ratio test |
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