| 相依序列方差变点的非参数统计分析 |
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| 引用本文： | 邹美红,程建强,何幼桦.相依序列方差变点的非参数统计分析[J].上海大学学报(自然科学版),2011(6):740-745. |
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| 作者姓名： | 邹美红 程建强 何幼桦 |
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| 作者单位： | 上海大学理学院; |
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| 基金项目： | 国家自然科学基金资助项目(11071158); 上海市重点学科建设资助项目(S30104) |
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| 摘 要： | 基于严平稳β-混合过程,建立回归函数和条件方差函数形式均未知情况下的自回归异方差模型方差变点的估计方法；并给出变点检验统计量渐近正态性的证明,由此得到方差变点的检验方法；最后,通过数值模拟,展示估计方法的有效性.
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| 关 键 词： | β-混合过程 非参数异方差模型 方差变点 局部线性估计 渐近正态性 |
Nonparametric Statistical Analysis of Structural Change Point in Volatility Models for Dependent Time Series |
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| ZOU Mei-hong,CHENG Jian-qiang,HE You-hua.Nonparametric Statistical Analysis of Structural Change Point in Volatility Models for Dependent Time Series[J].Journal of Shanghai University(Natural Science),2011(6):740-745. |
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| Authors: | ZOU Mei-hong CHENG Jian-qiang HE You-hua |
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| Institution: | ZOU Mei-hong,CHENG Jian-qiang,HE You-hua(College of Sciences,Shanghai University,Shanghai 200444,China) |
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| Abstract: | Based on a stationary β-mixed process,this paper proposes a method for nonparametric estimation of structural change point in volatility models with unknown regression and conditional variance functions.Asymptotic normality of test statistic is proven,and a corresponding test method presented.Effectiveness of the method is shown with simulations. |
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| Keywords: | β-mixed process nonparametric heteroscedastic model change point in volatility locally linear estimation asymptotic normality |
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