| 股票数据均值的多变点检验 |
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| 引用本文： | 周江涛,韩四儿. 股票数据均值的多变点检验[J]. 陕西科技大学学报, 2006, 24(5): 138-140 |
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| 作者姓名： | 周江涛 韩四儿 |
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| 作者单位： | [1]西北工业大学经济研究中心,陕西西安710072 [2]西北工业大学应用数学系,陕西西安710072 |
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| 摘 要： | 讨论了股票数据均值的多变点检验问题，在原假设下给出了统计量的极限分布及渐进临界值的解析表达式，并且在递归检验的过程中同时得到了变点时刻与变点个数估计，最后用实例分析说明了方法的有效性。
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| 关 键 词： | ARCH模型 多变点 递归检验 Brown桥 |
| 文章编号： | 1000-5811（2006）05-0138-03 |
| 收稿时间： | 2006-05-11 |
| 修稿时间： | 2006-05-11 |
MEAN MULTIPLE CHANGE POINT TEST OF STOCK DATA |
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| ZHOU Jiang-tao,HAN Si-er. MEAN MULTIPLE CHANGE POINT TEST OF STOCK DATA[J]. Journal of Shaanxi University of Science & Technology(Natural Science Edition), 2006, 24(5): 138-140 |
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| Authors: | ZHOU Jiang-tao HAN Si-er |
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| Abstract: | Nowadays, the change of structure of financial time series model is centered on the research of single change-point. But financial data may appear multiple change-points, and so in the research of practicalities, it needs to test the exit of multiple change-points and estimate the number and the date of breaks. In this paper auther studied the problem of mean multiple change-points test of stock data. The limiting distribution of the test under null hypothesis is present. In addition, We derived analytical expression for asymptotic critical value. The estimator of the date and the number of breaks is instantaneously obtained via the test procedure. Real data analysis support the validity of our test. |
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| Keywords: | ARCH models multiple change points recursive test Brown bridge |
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