|Table of Contents|

CUSUM test for change point in stochastic trend with stationary process(PDF)

《纺织高校基础科学学报》[ISSN:1006-6977/CN:61-1281/TN]

Issue:
2017年02期
Page:
226-229
Research Field:
Publishing date:

Info

Title:
CUSUM test for change point in stochastic trend with stationary process
Author(s):
 QIN RuibingGUO Juan
 School of Mathematics Science, Shanxi University, Taiyuan 030006,China
Keywords:
stationary process stochastic trend change point CUSUM test
PACS:
O 212.7
DOI:
10.13338/j.issn.1006-8341.2017.02.011
Abstract:
A CUSUM test for the detection of change in stochastic trend with stationary innovations is proposed.The asymptotic distribution is obtained under the null hypothesis, and the consistency of the proposed test is established.The Monte Carlo simulations demonstrate that the proposed test has a good size and high power.

References:

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Last Update: 2017-07-22