长记忆时间序列均值多变点滑动比检验及应用

Moving Ratio Test for Multiple Mean Changes in Long Memory Time Series with Applications

摘要: 本文通过引进一个窗宽参数，提出了一种滑动比率型统计量来检验长记忆时间序中的列均值多变点。在原假设下给出了检验统计量的极限分布，在备择假设下证明了检验方法的一致性。模拟结果表明,提出的新方法能够有效解决单变点检验方法在数据中存在多个变点时检验失效的问题，最后通过两组实际数据说明了该方法的实用性。

Abstract: In this paper, by introducing a bandwidth parameter, a moving ratio type statistic is proposed to detect multiple mean changes in long memory time series. The null distribution of the test statistic and its consistency under the alternative hypothesis are proved. Simulations show that the proposed new method can effectively solve the problem of testing failure when using the single change point test method to test multiple change points. Finally, the practicability of the method is illustrated by two groups of actual data.