典型文献
Monitoring Mean and Variance Change-Points in Long-Memory Time Series
文献摘要：
This paper proposes two ratio-type statistics to sequentially detect mean and variance change-points in the long-memory time series.The limiting distributions of monitoring statistics un-der the no change-point null hypothesis,alternative hypothesis as well as change-point misspecified hypothesis are proved.In particular,a sieve bootstrap approximation method is proposed to deter-mine the critical values.Simulations indicate that the new monitoring procedures have better finite sample performance than the available off-line tests when the change-point nears to the beginning time of monitoring,and can discriminate between mean and variance change-point.Finally,the authors illustrate their procedures via two real data sets:A set of annual volume of discharge data of the Nile river,and a set of monthly temperature data of northern hemisphere.The authors find a new variance change-point in the latter data.
文献关键词：
中图分类号：
作者姓名：
CHEN Zhanshou;LI Fuxiao;ZHU Li;XING Yuhong
作者机构：
School of Mathematics and Statistics,Qinghai Normal University,Xining 810008,China;Academy of Plateau Science and Sustainability,Xining 810008,China;Department of Applied Mathematics,Xi'an University of Technology,Xi'an 710048,China;College of Finance,Xingjiang University of Finance and Economics,Urumqi 830012,China
文献出处：
引用格式：
[1]CHEN Zhanshou;LI Fuxiao;ZHU Li;XING Yuhong-.Monitoring Mean and Variance Change-Points in Long-Memory Time Series)[J].系统科学与复杂性学报（英文版）,2022(03):1009-1029
A类：
misspecified,nears
B类：
Monitoring,Mean,Variance,Change,Points,Long,Memory,Time,Series,This,paper,proposes,two,ratio,type,statistics,sequentially,detect,mean,variance,change,points,long,memory,series,limiting,distributions,monitoring,un,der,null,hypothesis,alternative,as,well,are,proved,In,particular,sieve,bootstrap,approximation,method,proposed,deter,mine,critical,values,Simulations,indicate,that,new,procedures,have,better,finite,sample,performance,than,available,off,line,tests,when,beginning,can,discriminate,between,Finally,authors,illustrate,their,via,real,data,sets,annual,volume,discharge,Nile,river,monthly,temperature,northern,hemisphere,find,latter
AB值：
0.662192
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