统计与决策2024，Vol.40Issue(9)：61-66,6.DOI:10.13546/j.cnki.tjyjc.2024.09.010
基于BCUSUM的多参数变点估计
BCUSUM-based Multi-parameter Change Point Estimation
摘要
Abstract
This paper investigates the detection method of multi-parameter change points in regression model based on the inverse order characteristics of recursive residuals and isolate-detect.Firstly,the regression model with change points is con-structed.In view of the fact that the multivariate forward CUSUM test prevents the loss of power when the mean of the covariates is orthogonal to the offset,but that its change point detection effect is not ideal,the modified test statistic BCUSUM(Backward Cu-mulative Sum)is introduced.Secondly,with the fast and efficient isolate-detect technology combined,a MCPDP(Multiple Change Points Detection of Parameter)algorithm is proposed to estimate the number and corresponding positions of change points.Finally,the simulation results show that the proposed method can control the test level well and has higher power.The evaluation results show that the MCPDP algorithm has better performance of change point estimation.The case analysis shows that the traffic flow change points are consistent with the actual traffic situations,which verifies the effectiveness of the method.The model construct-ed in this paper can be used as a modification of the deterministic empirical relationship of traffic parameters.关键词
多参数变点/逆向累积和/隔离检测/递归残差Key words
multi-parameter change points/backward cumulative sum(BCUSUM)/isolate-detect/recursive residuals分类
数理科学引用本文复制引用
王继梅,胡尧..基于BCUSUM的多参数变点估计[J].统计与决策,2024,40(9):61-66,6.基金项目
国家自然科学基金资助项目(12161016 （）
11661018) （）
贵州省数据驱动建模学习与优化创新团队项目(黔科合平台人才[2020]5016号) （黔科合平台人才[2020]5016号）
贵州省科技计划项目(黔科合基础-ZK[2024]一般082) （黔科合基础-ZK[2024]一般082）
