应用概率统计
應用概率統計
응용개솔통계
CHINESE JOURNAL OF APPLIED PROBABILITY AND STATISTICS
2003年
3期
225-231
,共7页
季节时间序列%季节线性趋势%单位根检验
季節時間序列%季節線性趨勢%單位根檢驗
계절시간서렬%계절선성추세%단위근검험
Seasonal time series%seasonal linear trend%unit root test
本文为检验带季节线性趋势的季节时间序列的单位根,提出了调整季节线性趋势的统计量,导出这些统计量的极限分布,并用Monte Carlo方法比较研究这些统计量的检验势.
本文為檢驗帶季節線性趨勢的季節時間序列的單位根,提齣瞭調整季節線性趨勢的統計量,導齣這些統計量的極限分佈,併用Monte Carlo方法比較研究這些統計量的檢驗勢.
본문위검험대계절선성추세적계절시간서렬적단위근,제출료조정계절선성추세적통계량,도출저사통계량적겁한분포,병용Monte Carlo방법비교연구저사통계량적검험세.
In this thesis, we propose the seasonal linear trend adjusted test statistics for seasonal time series autoregressive models with a unit root and derive representations for the limit distributions fo the estimators and pivotal statisics. We have small Monte Carlo studies to compare the powers of the test statistics suggested in this thesis.
