ARMA（1，1）模型多变点的SupF检验

摘要

The detection problem of multiple change points in ARMA(1,1)model is researched,the SupF test statistic is proposed,the limiting distribution for test statistics is derived under null hypothesis. The situations in which multiple changes exist in ARMA(1,1)model is simulated,which shows the feasibility of the SupF test.%研究ARMA（1，1）模型多变点的检验问题，给出SupF检验统计量，在原假设下得到检验统计量的极限分布，并对ARMA（1，1）模型的多变点问题进行数据模拟，模拟结果表明了SupF检验的可行性。