Single Change-point Tests for P-order Autoregressive Models
2
조회
0
다운로드
1
인용
0
참고문헌
키워드
초록
Change-point analysis is performed in many fields such as finance, medicine, and macroeconomics. This study mainly considers the change-point problems in p-order regressive models. Using the generalized inverse matrix and maximum likelihood methods under the large sample condition, we obtain the asymptotic distribution of test statistics when the data matrix is not full-rank. We then obtain the asymptotic critical value. In addition, we offer their respective proofs. Simulation results indicate that the method is feasible, and the theoretical results are confirmed.
Abstract
Change-point analysis is performed in many fields such as finance, medicine, and macroeconomics. This study mainly considers the change-point problems in p-order regressive models. Using the generalized inverse matrix and maximum likelihood methods under the large sample condition, we obtain the asymptotic distribution of test statistics when the data matrix is not full-rank. We then obtain the asymptotic critical value. In addition, we offer their respective proofs. Simulation results indicate that the method is feasible, and the theoretical results are confirmed.
참고문헌 (12)
- Page ES, "Continuous inspection schemes", Biometrika, 41, pp.100~115 (1954)
- Csörgő M, "Limit theorems in change-point analysis" (1997), John Wiley Sons
- Guan Z, "A semiparametric change point model", Biometrika, 91, pp.849~862 (2004)
- Wang L, "Testing for change-point of the first-order autoregressive time series models", Chin J Appl Pro Stat, 24, pp.28~36 (2008)
- 황선영, "Statistical Issues on Instrumental Scores for Non-likelihood Stochastic Models", Quantitative Bio-Science, 36(2), pp.105~110 (2017), 자연과학연구소[DOI]
- Zhang LW, "Testing for change-point of the p-order autoregressive time series model", J Nanjing Nor Univ, 33, pp.13~17 (2010)
- Aminikhanghahi S, "A survey of methods for time series change point detection", Knowl Info Syst, 51, pp.339~367 (2017)
- Wang T, "High dimensional change point estimation via sparse projection", J the Royal Stat S, 80, pp.57~83 (2018)
- Peluso S, "Semiparametric multivariate and multiple change-point modeling", Bayesian Anal (2018)
- Markevičiūtė J, "Epidemic change tests for the mean of innovations of an AR (1) process", Stat Prob Lett, 112, pp.79~91 (2016)
- Li C, "Change-point analysis in AR(p) models", Math Theory Appl, 35, pp.58~67 (2015)
- Davis RA, "Testing for a change in the parameter values and order of an autoregressive model", Ann Stat, pp.282~304 (1995)