纺织高校基础科学学报2018，Vol.31Issue(1)：63-67,89,6.DOI:10.13338/j.issn.1006-8341.2018.01.011
基于Range检验的AR(p)模型参数变点的在线监测
Monitoring parameter change point in AR(p) model based on the Range test
摘要
Abstract
To study the on-line monitoring problem of parameter change point in AR(p)model, based on the effective score vector,the Range detector of parameter change point is given,and the limit property of the detector is obtained under null hypothesis and alternative hypothesis. By Monte Carlo simulation method,the empirical level,the empirical power and the average running length of the detector are given.Finally,the method is applied to the monitoring prob-lem of stock price variance change point,and the effectiveness of the method is explained.关键词
AR(p)模型/变点/在线监测/有效得分向量Key words
AR(p)model/change point/monitoring/the efficient score vector分类
数理科学引用本文复制引用
薛义新,赵文芝,刘鑫..基于Range检验的AR(p)模型参数变点的在线监测[J].纺织高校基础科学学报,2018,31(1):63-67,89,6.基金项目
国家自然科学基金青年基金(11201372) （11201372）
陕西省教育厅专项基金(2013JK0592):西安工程大学研究生创新基金(CX201714) （2013JK0592）
