| 多变点的AR模型估计的功效 |
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| 引用本文： | 张学新.多变点的AR模型估计的功效[J].四川理工学院学报(自然科学版),2010,23(6). |
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| 作者姓名： | 张学新 |
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| 作者单位： | 中南财经政法大学统计与数学学院; |
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| 基金项目： | 中南财经政法大学研究生创新课题 |
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| 摘 要： | 对含有变点的不同数据生成过程,用蒙特卡洛方法模拟研究了自回归移动平均模型分析法检测变点的功效,实验表明,AR模型估计对均值变点检测有较高的势。给出了利用AR模型检验某企业微电子标准物质质量稳定性的实例。
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| 关 键 词： | 自回归移动平均 多变点检验 检验功效 蒙特卡罗模拟 |
Efficiency of Autoregressive Moving Average Model's for Change-points Detection |
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| ZHANG Xue-xin.Efficiency of Autoregressive Moving Average Model's for Change-points Detection[J].Journal of Sichuan University of Science & Engineering:Natural Science Editton,2010,23(6). |
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| Authors: | ZHANG Xue-xin |
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| Institution: | ZHANG Xue-xin(School of Statistics and Mathematics,Zhongnan University of Economics and Law,Wuhan 430074,China) |
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| Abstract: | Based on several data generation processes with change-points,using Monte Carlo simulation,the efficiency of AR model for change-points detection was discussed firstly,and an enterprise's microelectronic standard material production quality stability's testing is given by this method secondly. |
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| Keywords: | AR changing-point test the power of a statistical test Monte Carlo simulation |
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