《山东大学学报(理学版)》 ›› 2022, Vol. 57 ›› Issue (4): 91-99.doi: 10.6040/j.issn.1671-9352.0.2021.525
娘毛措,陈占寿*,成守尧,汪肖阳
NIANG Mao-cuo, CHEN Zhan-shou*, CHENG Shou-yao, WANG Xiao-yang
摘要： 基于改进的滑动和(mMOSUM)方法研究了具有长记忆时间序列误差的线性回归模型系数变点的在线监测问题。通过修正边界函数得到了改进的滑动和监测统计量在原假设下的渐近分布,并在备择假设下证明了该方法的一致性。数值模拟结果表明当线性回归模型带有长记忆误差时,改进的滑动和方法除了长记忆参数值较大情况外仍然有效,且变点位置越靠后时,改进方法对经验势提高和平均运行长度缩短的作用越明显。最后,通过对一组美国的宏观经济数据进行实证分析,说明了方法的可行性。
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