摘要
研究ARCH过程的均值变点估计.在较弱的条件下证明了变点估计的一致性,并得到了估计的收敛率;为构造变点的置信区间给出了变点的极限分布.模拟结果表明方法的有效性.
This paper studies the estimating for mean change-point in ARCH models. Consistency of change-point estimator is proved and its rate of convergence is established under weak assumptions. To construct confidence interval, the limiting distribution of change-point estimator is obtained. Results of a simulation study support the validity of this method.
出处
《高校应用数学学报(A辑)》
CSCD
北大核心
2007年第2期181-186,共6页
Applied Mathematics A Journal of Chinese Universities(Ser.A)
基金
国家自然科学基金(60375003)
航空科学资助项目(03I53059)