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An Evaluation of Test Statistics for Detecting Level Change in BL(1,1,1,1) Models

机译:检测BL(1,1,1,1)模型检测水平变化测试统计的评估

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A study is carried out to investigate the sampling properties of the outlier test statistics of a procedure developed for detecting level change in BL(1,1,1,1) processes. It is done with respect to the sample size, the type of outlier and the size of the coefficients of the BL(1,1,1,1) process. The results show that, in general, the outlier detection procedure is capable of detecting level change, although the performance is affected if ω is large.
机译:进行研究,以研究开发用于检测BL(1,1,1,1)过程的水平变化的过程的异常试验统计的采样特性。它是针对样本大小,异常的类型和BL(1,1,1,1)过程的系数的类型完成。结果表明,通常,异常值检测过程能够检测水平变化,尽管如果ω大,则性能受到影响。

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