Subsampling tests for the mean change point with heavy-tailed innovations

被引：6

作者：

Jin, Hao ^{[1
]}

Tian, Zheng ^{[1
,2
]}

Qin, Ruibing ^{[1
]}

机构：

[1] NW Polytech Univ, Dept Appl Math, Xian 710072, Shaanxi, Peoples R China

[2] Chinese Acad Sci, State Key Lab Remote Sensing Sci, Beijing 100101, Peoples R China

来源：

MATHEMATICS AND COMPUTERS IN SIMULATION | 2009年 / 79卷 / 07期

基金：

中国国家自然科学基金;

关键词：

Heavy-tailed; Subsampling; RCUSQ test; Change point; SAMPLE AUTOCORRELATIONS; TIME-SERIES; BREAKS;

D O I：

10.1016/j.matcom.2008.11.020

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

The quest of the mean change point with innovations in the domain of attraction of a kappa-stable law appears to still be ongoing. We adopt the residual CUSUM of squares test (RCUSQ) and derive its null asymptotic distribution, which is dependent on stable index kappa. Then a residual-based subsampling is proposed to approximate the null distribution when stable index kappa is unknown. Consistency and the rate of convergence for the estimated change point are also obtained. We establish the asymptotic validity of this method and assess its performance both theoretically and numerically. (C) 2008 IMACS. Published by Elsevier B.V. All rights reserved.

引用

页码：2157 / 2166

页数：10

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