Gradual Change Estimation in AR(1) Models
2
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
Gradual change-point is an important topic in statistical studies. However, due to the complexity of gradual change-points, they are more difficult than other types of change-points and have scarcely been discussed in the literature. Thus, we highlight that, at an unknown time, a continuous type of change in an autocorrelated coefficient exists. Using Bayesian and maximum likelihood estimation methods, we tested the existence of trends in an autoregressive coefficient with a linear change. Simulation results, which support the Bayesian estimation method and compare it with the maximum likelihood estimation method, are reported for illustration.
Abstract
Gradual change-point is an important topic in statistical studies. However, due to the complexity of gradual change-points, they are more difficult than other types of change-points and have scarcely been discussed in the literature. Thus, we highlight that, at an unknown time, a continuous type of change in an autocorrelated coefficient exists. Using Bayesian and maximum likelihood estimation methods, we tested the existence of trends in an autoregressive coefficient with a linear change. Simulation results, which support the Bayesian estimation method and compare it with the maximum likelihood estimation method, are reported for illustration.
참고문헌 (10)
- Csörgő M, "Limit theorems in change-point analysis" (1997), John Wiley & Sons
- LIU ZIXUAN, "Single Change-point Tests for P-order Autoregressive Models", Quantitative Bio-Science, 38(2), pp.81~85 (2019), 자연과학연구소[DOI]
- Chen J, "Parametric statistical change point analysis:with applications to genetics, medicine, and finance" (2011), Springer Science & Business Media
- Lee S, "The cusum test for parameter change in time series model", Scand J Stat, 30, pp.781~796 (2003)
- Hu ková M, "Gradual changes versus abrupt changes", J Stat Plan Infer, 76, pp.109~125 (1999)
- Gupta AK, "Change points with linear trend for the exponential distribution", J Stat Plan Infer, 93, pp.181~195 (2001)
- Wang LM, "Testing for change-point of the first-order autoregressive time series models", Chin J Appl Pro Stat, 24, pp.28~36 (2008)
- Liu TH, "Gradual change point detection algorithm based on AUC", M.S., pp.2017
- Liu Q., "Bayes estimation for change-point problem in AR(1)and ARCH(1) models", M.S., pp.2006
- Yang JB, "Parameters estimation of change point problem of AR(p) and ARMA(p,q) based on Bayes method", M.S., pp.2010