平稳过程趋势项变点的CUSUM检验  

CUSUM test for change point in stochastic trend with stationary process

作　　者：秦瑞兵[1] 郭娟[1] 

机构地区：[1]山西大学数学科学学院,山西太原036900

出　　处：《纺织高校基础科学学报》2017年第2期226-229,共4页Basic Sciences Journal of Textile Universities

基　　金：国家自然科学基金资助项目(71501115);中国博士后基金资助项目(2012M510772)

摘　　要：对平稳过程趋势项中的变点检测问题,基于最小二乘估计残差构造CUSUM型统计量.同时,在原假设下得到了其渐近分布,在备择假设下证明了该检验的容许性.蒙特卡罗数值模拟表明,文中所给检验在检验趋势项系数变点时具有较好的势,且犯第一类错误的概率较小.A CUSUM test for the detection of change in stochastic trend with stationary innovations is proposed.The asymptotic distribution is obtained under the null hypothesis,and the consistency of the proposed test is established.The Monte Carlo simulations demonstrate that the proposed test has a good size and high power.

关 键 词：平稳过程 趋势项 变点 CUSUM检验 

分 类 号：O212.7[理学—概率论与数理统计]