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Estimation on mean-variance change-point of dependent sequence


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Estimation on mean-variance change-point of dependent sequence
WANG Huimin12 HE Xingshi1 ZHAO Wenzhi1
1.School of Science, Xi’an Polytechnic University, Xi’an 710048, China; 2.School of Science, Northwestern Polytechnical University, Xi’an 710072, China
dependent sequence change-point problem CUSUM estimation rate of convergence
O 212.1
The linear dependent sequences estimate problem of mean-variance change-points exist at the same times is studied by establishing the statistical model and constracting the CUSUM statistics of mean and variance change points are.Considering the effect of mean change point,by calculating the convergence speed of mean change point estimator,two different cases of variance change points of mean and the mean change point known and unknown are analyzed,and the convergence speed of variance change point estimators are also calculated.


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Last Update: 2017-07-22