A test for self-exciting clustering mechanism

被引：0
|
作者：
Fama, Yuchen [1 ]
Pozdnyakov, Vladimir [1 ]
机构：
[1] Univ Connecticut, Dept Stat, Coventry, CT 06238 USA
来源：
STATISTICS & PROBABILITY LETTERS | 2011年 / 81卷 / 10期
关键词：
Asymptotic normality; Exponential family; Self-exciting; Cluster detection; Scan statistics;
D O I：
10.1016/j.spl.2011.05.001
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, we propose a test to distinguish between data with cluster pattern where the variables are dependent in a self-exciting fashion versus independently identically distributed random variables. We also developed asymptotic distribution of the test statistic with closed-form covariance structure. Comparisons with scan statistics are discussed in the context of simulated earthquake data. Applications to two data sets are discussed. (C) 2011 Elsevier B.V. All rights reserved.
引用
收藏
页码：1541 / 1546
页数：6
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