NA序列变化点的CUSUM统计量

IF 1 4区数学

Applied Mathematics-A Journal of Chinese Universities Series B Pub Date : 2021-12-22 DOI:10.1007/s11766-021-4015-z

Jin Ling, Xiao-qin Li, Wen-zhi Yang, Jian-ling Jiao

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引用次数: 0

摘要

本文研究了负相关(NA)序列变化点的CUSUM统计量。通过分别建立均值函数和协方差函数的相合估计，证明了CUSUM统计量的极限分布是一个标准的布朗桥，从而推广了独立正态样本和移动平均过程下的结果。最后，通过仿真研究和在实际数据分析中的应用，给出了CUSUM统计量的有限样本特性，证明了该方法的有效性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The CUSUM statistic of change point under NA sequences

In this paper, we investigate the CUSUM statistic of change point under the negatively associated (NA) sequences. By establishing the consistency estimators for mean and covariance functions respectively, the limit distribution of the CUSUM statistic is proved to be a standard Brownian bridge, which extends the results obtained under the case of an independent normal sample and the moving average processes. Finally, the finite sample properties of the CUSUM statistic are given to show the efficiency of the method by simulation studies and an application on a real data analysis.

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来源期刊

Applied Mathematics-A Journal of Chinese Universities Series B MATHEMATICS, APPLIED-

自引率

10.00%

发文量

期刊介绍： Applied Mathematics promotes the integration of mathematics with other scientific disciplines, expanding its fields of study and promoting the development of relevant interdisciplinary subjects. The journal mainly publishes original research papers that apply mathematical concepts, theories and methods to other subjects such as physics, chemistry, biology, information science, energy, environmental science, economics, and finance. In addition, it also reports the latest developments and trends in which mathematics interacts with other disciplines. Readers include professors and students, professionals in applied mathematics, and engineers at research institutes and in industry. Applied Mathematics - A Journal of Chinese Universities has been an English-language quarterly since 1993. The English edition, abbreviated as Series B, has different contents than this Chinese edition, Series A.