长记忆时间序列均值多变点的ANOVA型检验  

An ANOVA-type test for multiple change pointsin the mean of long memory time sequence

作　　者：刘豆 赵文芝[1] LIU Dou;ZHAO Wenzhi(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：《西安工程大学学报》2021年第3期123-128,共6页Journal of Xi’an Polytechnic University

基　　金：国家自然科学基金(11771353)。

摘　　要：为了研究线性长记忆均值多变点检验问题,在假设条件下构造了统计量ANOVA并证明其极限分布。通过Monte Carlo实验模拟得出检验临界值、经验水平以及经验势,数值模拟结果表明该方法的有效性。通过实例分析进一步验证了所选方法可用于实际数据变点检测。In order to study the multiple change points test of the mean of linear long memory,the ANOVA statistics was constructed and the limit distribution was proved under the hypothesis condition.The critical value,experience level and empirical power of the test statistics were obtained by Monte Carlo experiment simulation.The data results show that the method is effective.Finally,the effectiveness of the proposed method is further verified by example analysis,and the analysis results show that the proposed method can be used for change point detection of actual data.

关 键 词：长记忆 均值多变点 ANOVA 分数布朗运动 Monte Carlo方法 

分 类 号：O212.1[理学—概率论与数理统计]