影响因子：1.523
DOI码：10.1007/s00362-009-0202-3
发表刊物：Statistical Papers
关键字：Linear process; Variance change point; Ratio test; Consistent test; Long memory
摘要：In this paper we consider the detection problem of variance change point in linear process with long memory. We propose the ratio test to detect the variance change point. The limiting distribution for test statistics under H (0) is derived and the consistency of the test is also established. In comparison with the existing CUSUM of squares (SCUSUM) test, the ratio test does not need to estimate the long memory parameter in practical situation and therefore it can be used more conveniently.
论文类型：期刊论文
卷号：51
期号：2
页面范围：397-407
ISSN号：0932-5026
是否译文：否
收录刊物：SCI
第一作者：Wenzhi Zhao
合写作者：Zhiming Xia