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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2019.11
- 수록면
- 81 - 85 (5page)
이용수
초록· 키워드
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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.
목차
ABSTRACT
1. Introduction
2. Testing for Change-point
3. Main Results
4. Simulation
5. Conclusion
References
참고문헌 (12)
참고문헌 신청
Page ES / 1954 / Continuous inspection schemes / Biometrika 41:100~115
Csörgő M / 1997 / Limit theorems in change-point analysis / John Wiley Sons
Guan Z / 2004 / A semiparametric change point model / Biometrika 91:849~862
Wang L / 2008 / Testing for change-point of the first-order autoregressive time series models / Chin J Appl Pro Stat 24:28~36
황선영 / 2017 / Statistical Issues on Instrumental Scores for Non-likelihood Stochastic Models / Quantitative Bio-Science 36(2):105~110
Csörgő M / 1997 / Limit theorems in change-point analysis / John Wiley Sons
Guan Z / 2004 / A semiparametric change point model / Biometrika 91:849~862
Wang L / 2008 / Testing for change-point of the first-order autoregressive time series models / Chin J Appl Pro Stat 24:28~36
황선영 / 2017 / Statistical Issues on Instrumental Scores for Non-likelihood Stochastic Models / Quantitative Bio-Science 36(2):105~110
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UCI(KEPA) : I410-ECN-0101-2020-047-000138191