ARMA（1，1）模型多变点的SupF检验
ARMA（1，1）모형다변점적SupF검험
Multiple Change Points Detection of ARMA(1,1)Model with SupF Method
  • 万方数据
    河南科学 하남과학
    Henan Science
    2015年 9期 1482-1487 ,共6页

    赵蕊%赵文芝%吕会琴

    조예%조문지%려회금

    ARMA(1,1)模型%多变点检验%SupF统计量%极限分布 ARMA(1,1)模型%多變點檢驗%SupF統計量%極限分佈
    ARMA(1,1)모형%다변점검험%SupF통계량%겁한분포
    ARMA(1,1)model%multiple change points%SupF test%limiting distribution
    研究ARMA（1，1）模型多变点的检验问题，给出SupF检验统计量，在原假设下得到检验统计量的极限分布，并对ARMA（1，1）模型的多变点问题进行数据模拟，模拟结果表明了SupF检验的可行性。
    연구ARMA（1，1）모형다변점적검험문제，급출SupF검험통계량，재원가설하득도검험통계량적겁한분포，병대ARMA（1，1）모형적다변점문제진행수거모의，모의결과표명료SupF검험적가행성。
    The detection problem of multiple change points in ARMA(1,1)model is researched,the SupF test statistic is proposed,the limiting distribution for test statistics is derived under null hypothesis. The situations in which multiple changes exist in ARMA(1,1)model is simulated,which shows the feasibility of the SupF test.
    원문보기 원문다운로드 사이트로이동
저자의 최근 논문