| 赵文芝,田铮,夏志明.随机设计下非参数回归模型变点的小波检测与估计[J].数学研究及应用,2009,29(2):247~256 |
| 随机设计下非参数回归模型变点的小波检测与估计 |
| Wavelet Detection and Estimation of Change Points in Nonparametric Regression Models under Random Design |
| 投稿时间：2007-06-22 修订日期：2007-11-22 |
| DOI：10.3770/j.issn:1000-341X.2009.02.007 |
| 中文关键词: 随机设计 非参数回归模型 变点 小波变换 一致性检验 收敛速度. |
| 英文关键词:random design nonparametric regression model change point wavelet transformation consistent test rate of convergence. |
| 基金项目:国家自然科学基金(No.60375003);能航空基础科学基金项目 (No.03I53059). |
|
| 摘要点击次数: 4448 |
| 全文下载次数: 1913 |
| 中文摘要: |
| 针对非参数回归模型变点分析问题,本文给出随机设计下非参数回归模型变点检测与估计的小波方法.构造了基于小波分解系数的检验统计量;利用检验统计量推导出检验的临界值;证明了检验的一致性并给出变点估计的收敛速度.数值模拟以及IBM股票数据实例分析的结果说明方法的有效性. |
| 英文摘要: |
| A wavelet method of detection and estimation of change points in nonparametric regression models under random design is proposed. The confidence bound of our test is derived by using the test statistics based on empirical wavelet coefficients as obtained by wavelet transformation of the data which is observed with noise. Moreover, the consistence of the test is proved while the rate of convergence is given. The method turns out to be effective after being tested on simulated examples and applied to IBM stock market data. |
| 查看全文 查看/发表评论 下载PDF阅读器 |
