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Ratio test for variance change point in linear process with long memory

机译:具有长记忆的线性过程中方差变化点的比率测试

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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 H0 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.
机译:本文考虑了长记忆线性过程中方差变化点的检测问题。我们提出了比率检验来检测方差变化点。推导了H0下检验统计量的极限分布,并建立了检验的一致性。与现有的平方CUSUM(SCUSUM)测试相比,比率测试在实际情况下不需要估计长存储参数,因此可以更方便地使用。

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