含有变点的厚尾单位根的subsampling检验  

Subsampling Procedures for the Heavy-tailed Unit Root Test with Structural Change

作　　者：秦瑞兵[1] 田铮[1,2] 

机构地区：[1]西北工业大学应用数学系,西安710072 [2]中国科学院遥感应用研究所国家遥感重点实验室,北京100101

出　　处：《工程数学学报》2010年第3期429-440,共12页Chinese Journal of Engineering Mathematics

基　　金：国家自然科学基金(60972150;10926197;60375003);西北工业大学科技创新基金(2007KJ01033)~~

摘　　要：本文研究趋势项含有变点且新息为方差无穷厚尾过程的序列单位根检验问题,通过构造DF型检验,得到了其渐近分布。为避免估计统计量渐近分布中的尾指数,构造subsampling抽样方法来确定统计量渐近分布的百分位数,同时论证了subsampling抽样方法的一致性。最后,用Monte Carlo模拟证实本文所提出统计量以及subsampling抽样方法的可行性。This paper deals with the unit root test for the series with the infinite-variance innovations and the change in trend. The DF-type test is extended and the asymptotic distribution is obtained. In order to get the percentiles of the DF-type test, subsampling procedures are designed, and the consistency of the subsampling procedure is established. Finally, Monte Carlo simulations demonstrate the validity of the proposed test and the subsampling procedures in this paper.

关 键 词：方差无穷过程 变点 单位根检验 subsampling方法 

分 类 号：O212.1[理学—概率论与数理统计]