排序方式: 共有122条查询结果,搜索用时 15 毫秒
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In this paper, a general principle of constructing tests for parameter constancy without assuming a specific alternative is introduced. A unified asymptotic result is established to analyze this class of tests. As applications, tests based on the range of recursive and moving estimates are considered, and their asymptotic distributions are characterized analytically. Our simulations show that different tests have quite different behavior under various alternatives and that no test uniformly dominates the other tests. 相似文献
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刘霏 《华北水利水电学院学报(社会科学版)》2010,26(4):60-62
针对我省农村金融发展的现状,在西方金融深化理论的基础上,运用金融相关比率(Financial Interrelations Ratio,FIR)指标实证检验了我省农村金融深化的绩效,并对我省农村金融相关率FIR和GDP进行回归检验,得出了我省的农村金融资产相关比率FIR与农村国民生产总值之间呈现显著的正相关性的结论。 相似文献
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The problem of testing for a parameter change has been a core issue in time series analysis. It is well known that the estimates-based CUSUM test often suffers from severe size distortions in general GARCH type models. The residual-based CUSUM test has been used as an alternative, which, however, has a defect not to detect the ARMA parameter changes in ARMA–GARCH models. As a remedy, one can employ the score vector-based CUSUM test in ARMA–GARCH models as in Oh and Lee (0000). However, it shows some size distortions for relatively small samples. Hence, we consider the bootstrap counterpart for obtaining a more stable test. Focus is made on the verification of the weak consistency of the proposed test. An empirical study is illustrated for its evaluation. 相似文献
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Abdul Haq 《Journal of Statistical Computation and Simulation》2019,89(3):478-491
The adaptive multivariate CUSUM (AMCUSUM) chart has received considerable attention because of its superior sensitivity against a range of mean shift sizes than that of the conventional non-adaptive multivariate CUSUM (MCUSUM) chart. Recently, weighted AMCUSUM (WAMCUSUM) charts with a fixed sampling interval (FSI) have been proposed, called the WAMCUSUM-FSI charts, which provide more sensitivity than the AMCUSUM-FSI charts. In this paper, we extend this work and propose WAMCUSUM charts with variable sampling interval (VSI), named the WAMCUSUM-VSI charts, for efficiently monitoring the mean of a multivariate normally distributed process. The Monte Carlo simulation method is used to compute the average time to signal (ATS) and the adjusted ATS (AATS) profiles of the existing and proposed charts. It is found that the WAMCUSUM-VSI charts perform substantially and nearly uniformly better than the WAMCUSUM-FSI charts in terms of the ATS and AATS performance criterion. An example is given to explain the implementation of the WAMCUSUM charts with fixed and VSIs. 相似文献
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Hanwool Kim 《Journal of Statistical Computation and Simulation》2017,87(3):546-562
This paper considers the first-order integer-valued autoregressive (INAR) process with Katz family innovations. This family of INAR processes includes a broad class of INAR(1) processes with Poisson, negative binomial, and binomial innovations, respectively, featuring equi-, over-, and under-dispersion. Its probabilistic properties such as ergodicity and stationarity are investigated and the formula of the marginal mean and variance is provided. Further, a statistical process control procedure based on the cumulative sum control chart is considered to monitor autocorrelated count processes. A simulation and real data analysis are conducted for illustration. 相似文献
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This study examines the statistical process control chart used to detect a parameter shift with Poisson integer-valued GARCH (INGARCH) models and zero-inflated Poisson INGARCH models. INGARCH models have a conditional mean structure similar to GARCH models and are well known to be appropriate to analyzing count data that feature overdispersion. Special attention is paid in this study to conditional and general likelihood ratio-based (CLR and GLR) CUSUM charts and the score function-based CUSUM (SFCUSUM) chart. The performance of each of the proposed methods is evaluated through a simulation study, by calculating their average run length. Our findings show that the proposed methods perform adequately, and that the CLR chart outperforms the GLR chart when there is an increased shift of parameters. Moreover, the use of the SFCUSUM chart in particular is found to lead to a lower false alarm rate than the use of the CLR chart. 相似文献