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方差变点的加权累积和估计的极限性质

Limit properties of weighted cumulative sum estimator of change-point in variance

  • 摘要: 研究了方差变点的加权累积和估计的一些极限性质. 证明了这个估计量的相合性和收敛速度, 并由此推导出了变点估计量在局部对立假设下的渐近分布的形式, 它是一个有偏移的双边布朗运动. 通过渐近分布的数值解可以构造出估计量的渐近置信区间. 计算机模拟和实际数据分析表明, 这个估计量在应用中有很好的表现.

     

    Abstract: Some limit properties of the weighted cumulative sum(WCS) estimator for the change-point in variance was studied. The consistency and convergence rate of the estimator were proved. In addition, the asymptotic distribution of the change-point estimator under local alternative hypothesis, which was a two-side Brownian motion with a drift, was developed. By the numerical solution of asymmetric distribution, an asymptotic confidence interval was constructed. Simulation results and a real data example show that the proposed estimator has a good performance in the application.

     

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