期刊论文

中文

应用概率统计

1001-4268

1996

12

1

43-54

本校为第一机构

对至多一个变点模型X(i/n)＝f(i/n)＋ε(i/n), 其中f(t)＝〖JB({〗α_1＋β_1(t-t_0), 0＜t≤t_0,α_2＋β_2(t-t_0), t_0＜t≤1,〖JB)〗ε(1/n),…,ε(n/n)独立同分布. 借助高斯过程理论, 利用第一型极值分布逼近文中所提出的变点估计量的分布. 讨论了关于变点t_0, 跳跃度(α_2-α_1)和斜率变度(β_2-β_1)的假设检验和区间估计问题.

For the change-point model with at most one change X(i/n) = f(i/n) + ε(i/n), wherendently and identically distributed, the distribution of the estimator of the change point proposed in this paper can be approaximated by the first type of the extremal distribution with the help of the theory of Gaussian process. The problem of testing and interval estimation about the change-point to the magnitude of jump (α2-α1) and the mag...