夏志明Zhiming Xia

教授

 博士生导师  硕士生导师
性别:男
学历:博士研究生毕业
在职信息:在职
所在单位:数学学院
电子邮箱:

论文成果

当前位置: 中文主页 >> 论文成果

Detection and estimation of structural change in heavy-tailed sequence

点击次数:

影响因子:0.863
DOI码:10.1080/03610926.2015.1006780
发表刊物:Communications in Statistics - Theory and Methods
关键字:Bootstrap test; change point; heavy-tailed sequence; ratio estimation
摘要:In this paper, bootstrap detection and ratio estimation are proposed to analysis mean change in heavy-tailed distribution. First, the test statistic is constructed into a ratio form on the CUSUM process. Then, the asymptotic distribution of test statistic is obtained and the consistency of the test is proved. To solve the problem that the null distribution of the test statistic contains unknown tail index, we present a bootstrap approximation method to determine the critical values of the null distribution. We also discuss how to estimate change point based on ratio method. The consistency and rate of convergence for the change-point estimator are established. Finally, the excellent performance of our method is demonstrated through simulations using artificial and real data sets. Especially the simulation results of bootstrap test are better than those of another existing method.
论文类型:期刊论文
卷号:46
期号:2
页面范围:815-827
ISSN号:0361-0926
是否译文:
收录刊物:SCI
第一作者:Dan Wang
合写作者:Pengjiang Guo
合写作者:Zhiming Xia