统计与决策2018，Vol.34Issue(16)：26-29,4.DOI:10.13546/j.cnki.tjyjc.2018.16.006
基于Tukey法改进时间序列平稳性检验的分段检验法
Segmented Testing of Improved Time Series Stationarity Test Based on Tukey
摘要
Abstract
Based on the analysis of deficiency of traditional time series segmented test theory,this paper proposes a segmented test method based on Tukey method to improve time series stability test. In the test of the equality of the mean and auto-covariance functions of each segment,a [t] range statistics is constructed for each to reduce the probability of making the first type of error, thus reducing the probability that the smooth sequence is misjudged as non-stationary and improving the effectiveness of the segmented test method.关键词
时间序列/平稳性检验/分段检验/Tukey方法/t化极差统计量Key words
time series/stationarity test/segmented testing/Tukey/[t] range statistics分类
数理科学引用本文复制引用
蔡林芝,吕王勇..基于Tukey法改进时间序列平稳性检验的分段检验法[J].统计与决策,2018,34(16):26-29,4.基金项目
国家自然科学基金青年项目(11601357) （11601357）
四川省科技厅应用基础研究项目(2017JY0159) （2017JY0159）
