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.
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.
Xia Zhiming, Zhao Wenzhi, Pu Xiaolong, Guo Pengjiang. Monitoring Change Points in IV Models[J]. Chinese Journal of Applied Probability and Statistics, 2012, 28(2): 113-122.
Citation: Xia Zhiming, Zhao Wenzhi, Pu Xiaolong, Guo Pengjiang. Monitoring Change Points in IV Models[J]. Chinese Journal of Applied Probability and Statistics, 2012, 28(2): 113-122.

IV模型中变点序贯检验方法

Monitoring Change Points in IV Models

  • 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\delta=1/2具有非平凡势, 而当0<\delta<1/2时, 则是相合的.

     

    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 when \delta=1/2 and will be consistent when 0<\delta<1/2.

     

/

返回文章
返回