| A Model-Free Method for Structual Change Detection Multivariate Nonlinear Time Series |
| |
| 作者姓名： | 孙青华 张世英 梁雄健 |
| |
| 作者单位： | Sun Qinghua 1，Zhang Shiying 2 & Liang Xiongjian 1 1. Dept. of Economic Management，Beijing University of Posts and Telecommunications，Beijing 100876，P. R. China; 2. School of Management，Tianjin University，Tianjin 300072，P. R. China |
| |
| 基金项目： | ThisprojectwassupportedbytheNationalNaturalScienceFoundationofChina (70 1710 0 1) |
| |
| 摘 要： | 1 .MOTIVATIONANDINTRODUCTIONRecently ,therehavebeenseveralnewtheoreticalre sultsforstationaryandnonstationarydynamicmod els ,nonlinearregressionmodel,simultaneousequa tionandEulerequationmodels.JournalofEconometrics( 1 996) publishedaspe cialvolumetobringtogetherahostofpapers,whichreflectsthediversityoftherecentdevelopmentsonthissubject.Thisvolumeismainlyfocusedonthefollowingaspects:finite sampletestsofparameterconstancyagainstthepresenceofstructuralchange,asymptotic proceduresformod…
|
A Model-Free Method for Structual Change Detection Multivariate Nonlinear Time Series |
| |
| Sun Qinghua ,Zhang Shiying & Liang Xiongjian . Dept. of Economic Management,Beijing University of Posts and Telecommunications,Beijing ,P. R. China, . School of Management,Tianjin University,Tianjin ,P. R. China.A Model-Free Method for Structual Change Detection Multivariate Nonlinear Time Series[J].Journal of Systems Engineering and Electronics,2003,14(2). |
| |
| Authors: | Sun Qinghua Zhang Shiying & Liang Xiongjian Dept of Economic Management Beijing University of Posts and Telecommunications Beijing P R China School of Management Tianjin University Tianjin P R China |
| |
| Institution: | 1. Dept. of Economic Management, Beijing University of Posts and Telecommunications, Beijing 100876, P. R. China
2. School of Management, Tianjin University, Tianjin 300072, P. R. China |
| |
| Abstract: | In this paper, we apply the recursive genetic programming (RGP) approach to the cognition of a system, and then proceed to the detecting procedure for structural changes in the system whose components are of long memory. This approach is adaptive and model-free, which can simulate the individual activities of the system's participants, therefore, it has strong ability to recognize the operating mechanism of the system. Based on the previous cognition about the system, a testing statistic is developed for the detection of structural changes in the system. Furthermore, an example is presented to illustrate the validity and practical value of the proposed. |
| |
| Keywords: | Structural changes Recursive genetic programming Model-free method |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
