|Table of Contents|

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


Research Field:
Publishing date:


CUSUM test for change point in stochastic trend with stationary process
 QIN RuibingGUO Juan
 School of Mathematics Science, Shanxi University, Taiyuan 030006,China
stationary process stochastic trend change point CUSUM test
O 212.7
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.


[1] PAGE E S.Continuous inspection schemes[J].Biometrika,1954,41(1):100-115. [2] YU X,TAN H,WAN W.A novel speaker change detection algorithm[C]//International Conference on Communications,Circuits and Systems(ICCCAS 2007).New York: IEEE Press,2007. [3] JESKE D R,VERONICA M D O,BISCHOFF W,et al.CUSUM techniques for timeslot sequences with applications to network surveillance [J].Computational Statistics & Data Analysis,2009,53(12):4332-4344. [4] RATNAM R,GOENSE J B M,NELSON M E.Change-point detection in neuronal spike train activity[J].Neurocomputing,2003,52-54(s):849-855. [5] GAVIT P,BADDOUR Y,THOLMER R.Use of change-point analysis for process monitoring and control[J].Biopharm International,2009,22(8):46-55. [6] CSORGO M,HORVATH L.Limit theorems in change-point analysis[M].Chichester:John Wiley & Sons,1997. [7] CHEN J,GYPTA A K.Parametric statistical change point analysis[M].Boston:Birkhauser,2000. [8] BAI J,PERRON P.Computation and analysis of multiple structural-change models[J].Journal of Applied Econometrics,2003,18(1):1-22. [9] AUE A,HORVATH L.Structural breaks in time series[J].Journal of Time Series Analysis,2013,34(1):1-16. [10] WU Y H.Inference for change point and post change means after a cusum test[M].Berlin:Springer,2005. [11] MACNEILL I B.Properties of sequences of partial sums of polynomial regression residuals,with applications to tests for change of regression at unknown times[J].Annals Statistics,1978,6(2):422-433. [12] KUAN C.Tests for changes in models with a polynomial trend[J].Journal of Econometrics,1998,84(1):75-91. [13] HUSKOVA M,PICEK J.Bootstrap in detection of changes in linear regression[J].Sankhya:Indian Journal of Statistics,2005,67(2):1-27. [14] AUE A,HORVATH L,HUSKOVA M,et al.Testing for changes in polynomial regression[J].Bernoulli,2008,14(3):637-660. [15] PERRON P,ZHU X.Structural breaks with deterministic and stochastic trends[J].Journal of Econometrics,2005,129(1/2):65-119. [16] PLOBERGER W,KRAMER W.The CUSUM test with OLS residuals[J].Econometrica,1992,60(2):271-285.


Last Update: 2017-07-22