自回归模型参数变点的修正残差CUSUM监测  

Corrected Residual CUSUM Monitoring of Autoregressive Model Parameter Change Points

作　　者：贾伟亚 魏岳嵩[1] 杨兆新 JIA Weiya;WEI Yuesong;YANG Zhaoxin(School of Mathematical Sciences,Huaibei Normal University,235000,Huaibei,Anhui,China)

机构地区：[1]淮北师范大学数学科学学院

出　　处：《淮北师范大学学报（自然科学版）》2020年第1期1-7,共7页Journal of Huaibei Normal University：Natural Sciences

基　　金：安徽省高校自然科学基金项目（KJ2018A0384）

摘　　要：基于自回归模型参数变点的在线监测问题,为缩短监视变点的平均运行长度,引进窗宽参数调整监测起始时刻,提高检验势.用最小二乘法构造参数变点的残差累积和监测统计量,得出原假设和备择假设条件下监测统计量的极限性质.Based on the on-line monitoring problem of the parameter change point of the autoregressive model,in order to shorten the average running length of the monitoring change point,the window width parameter is introduced to adjust the starting time of monitoring and improve the test potential.The residual accumulation and monitoring statistics of the parameter change point are constructed by least square method,and the limit properties of monitoring statistics under hypothesis and alternative hypothesis are obtained.

关 键 词：AR(P)模型 窗宽参数 残差CUSUM 变点监测 

分 类 号：O212.1[理学—概率论与数理统计]