关于至多一个变点模型的跳变度和坡变度估计向量的渐近分布
Asymptotic Distribution for Estimator of the Magnitude of Jump and Slope Change in a Model with at Most One Change Point
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摘要: 对至多一个变点模型x(i / n)=f(i / n)+\epsilon(i / n)其中f(t)= \begincases\alpha_1+\beta_1\left(t-t_0\right), & 0
ε（1/n）,…,(ε（n/n）独立同分布,讨论了变点t0处,跳变度（α2-α1）和坡变度（β2-β1）估计向量的渐近分布,且为二维正态分布。 Abstract: For the change point model with at most one changex(i / n)=f(i / n)+\epsilon(i / n), wheref(t)= \begincases\alpha_1+\beta_1\left(t-t_0\right), & 0ε（1/n）,…,(ε（n/n） are independently and identically distributed. In this paper, we have discussed the asymptotic distribution of estimate Vector of the magnitude of jump α2-α1 and slope changeβ2-β1 and have obtained that the asymptotic distribution is two-dimensional normal.
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