基于Range检验的AR(p)模型参数变点的在线监测  

Monitoring parameter change point in AR(p) model based on the Range test

作　　者：薛义新 赵文芝[1] 刘鑫 XUE Yixin;ZHAO Wenzhi;LIU Xin(School of Science,Xi′an Polytechnic University,Xi′an 710048,China)

机构地区：[1]西安工程大学理学院,陕西西安710048

出　　处：《纺织高校基础科学学报》2018年第1期63-67,89,共6页Basic Sciences Journal of Textile Universities

基　　金：国家自然科学基金青年基金(11201372);陕西省教育厅专项基金(2013JK0592);西安工程大学研究生创新基金(CX201714)

摘　　要：为研究AR(p)模型参数变点的在线监测问题,在有效得分向量的基础上,给出参数变点的Range监测统计量,并得到原假设和备择假设下监测统计量的极限性质.通过Monte Carlo模拟方法给出监测统计量的经验水平,经验势和平均运行长度.最后将该方法应用于股票价格方差变点的监测问题中,说明了该方法的有效性.To study the on-line monitoring problem of parameter change point in AR(p)model,based on the effective score vector,the Range detector of parameter change point is given,and the limit property of the detector is obtained under null hypothesis and alternative hypothesis.By Monte Carlo simulation method,the empirical level,the empirical power and the average running length of the detector are given.Finally,the method is applied to the monitoring problem of stock price variance change point,and the effectiveness of the method is explained.

关 键 词：AR(P)模型 变点 在线监测 有效得分向量 

分 类 号：O212.7[理学—概率论与数理统计]