独立序列的方差变点估计改进  

Improvement on the Estimation of Change-point in the Variance of Independent Observations

作　　者：秦瑞兵[1] 麻俊杰 QIN Ruibing;MA Junjie(School of Mathematical Sciences, Shanxi University, Taiyuan 030006,Chin)

机构地区：[1]山西大学数学科学学院,山西太原030006

出　　处：《山西大学学报（自然科学版）》2018年第2期267-271,共5页Journal of Shanxi University(Natural Science Edition)

基　　金：国家自然科学基金(71501115);博士后基金第六批特别资助(2013T60266)

摘　　要：研究了独立序列方差变点的估计问题,利用Háyek-Rényi型不等式推导出CUSQ型估计量的误差概率。在此基础上提出一种方差变点估计的改进方法,最后利用Monte Carlo模拟验证了该方法的有效性。Considering the estimation problem of change point in the variance of independent observations,we use Háyek-Rényi type inequality to bound the error probability of the CUSQ type estimator.Based on these,a method to estimate the location of the variance change point of independent observation is proposed.Finally,the effectiveness of the proposed method is supported by Monte Carlo simulation.

关 键 词：方差变点 CUSQ型估计量 误差概率 Háyek-Rényi型不等式 

分 类 号：O212[理学—概率论与数理统计]