中国科学技术大学学报
中國科學技術大學學報
중국과학기술대학학보
JOURNAL OF UNIVERSITY OF SCIENCE AND TECHNOLOGY OF CHINA
2015年
3期
210-219
,共10页
变点%U统计量%累积和%相合性%收敛速度
變點%U統計量%纍積和%相閤性%收斂速度
변점%U통계량%루적화%상합성%수렴속도
change point%U-statistics%cumulative sum%consistency%convergence rate
对至多一个位置参数变点的模型,基于反对称核函数,运用累积和(cumulative sum , CUSUM )方法给出了变点的U统计量型估计量,并研究了变点估计量的相合性和收敛速度,同时也给出了局部对立条件下估计量的相合性。最后进行了不同样本容量和参数设置下变点估计的模拟分析,从直方图可以看出:变点位置越靠近中间位置,估计越精确。模拟结果显示所给出的估计量的有效性。
對至多一箇位置參數變點的模型,基于反對稱覈函數,運用纍積和(cumulative sum , CUSUM )方法給齣瞭變點的U統計量型估計量,併研究瞭變點估計量的相閤性和收斂速度,同時也給齣瞭跼部對立條件下估計量的相閤性。最後進行瞭不同樣本容量和參數設置下變點估計的模擬分析,從直方圖可以看齣:變點位置越靠近中間位置,估計越精確。模擬結果顯示所給齣的估計量的有效性。
대지다일개위치삼수변점적모형,기우반대칭핵함수,운용루적화(cumulative sum , CUSUM )방법급출료변점적U통계량형고계량,병연구료변점고계량적상합성화수렴속도,동시야급출료국부대립조건하고계량적상합성。최후진행료불동양본용량화삼수설치하변점고계적모의분석,종직방도가이간출:변점위치월고근중간위치,고계월정학。모의결과현시소급출적고계량적유효성。
For the location parameter change point model allowing at most one change ,an antisymmetric kernel function was constructed and a change point estimator was proposed with the help of the CUSUM method .The consistency and convergence rate of the change point estimator were studied under normal conditions and its consistency was given under the condition of local alternative hypothesis . Finally , simulation was performed under different sample sizes and parameter settings .From the histograms ,the closer the change‐point location gets to the middle ,the more accurate the estimate is .The results show that our methods are effective .