Limit distribution of Dickey-Fuller unit root test statistics with dependent residuals and a mean shift(含均值变点时相依误差时间序列的Dickey-Fuller单位根统计量的极限分布)
均值带有变点的相依误差的自回归时间序列，在单位根假设条件下，自回归系数的正则化估计及其F统计量的极限分布可以表示成Wiener过程的泛函，其形式包含了变点前后的两个均值μ1和μ2.正则化估计的收敛速度在均值变点的影响下，达到Op(T-3/2)(其中T是样本容量 ）.当μ1和μ2未知时，采用的最小二乘估计对这两个参数进行估计，其估计量μ1和µ2具有相合性....
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| Format: | Article |
| Language: | zho |
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Zhejiang University Press
2008-11-01
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| Series: | Zhejiang Daxue xuebao. Lixue ban |
| Subjects: | |
| Online Access: | https://doi.org/10.3785/j.issn.1008-9497.2008.06.005 |
| _version_ | 1797236104908242944 |
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| author | YANGXiao-rong(杨晓蓉) ZHANGLi-xin(张立新) |
| author_facet | YANGXiao-rong(杨晓蓉) ZHANGLi-xin(张立新) |
| author_sort | YANGXiao-rong(杨晓蓉) |
| collection | DOAJ |
| description | 均值带有变点的相依误差的自回归时间序列，在单位根假设条件下，自回归系数的正则化估计及其F统计量的极限分布可以表示成Wiener过程的泛函，其形式包含了变点前后的两个均值μ1和μ2.正则化估计的收敛速度在均值变点的影响下，达到Op(T-3/2)(其中T是样本容量 ）.当μ1和μ2未知时，采用的最小二乘估计对这两个参数进行估计，其估计量μ1和µ2具有相合性. |
| first_indexed | 2024-04-24T16:58:33Z |
| format | Article |
| id | doaj.art-1aa237e7d20249e99a261fa58d432559 |
| institution | Directory Open Access Journal |
| issn | 1008-9497 |
| language | zho |
| last_indexed | 2024-04-24T16:58:33Z |
| publishDate | 2008-11-01 |
| publisher | Zhejiang University Press |
| record_format | Article |
| series | Zhejiang Daxue xuebao. Lixue ban |
| spelling | doaj.art-1aa237e7d20249e99a261fa58d4325592024-03-29T01:58:26ZzhoZhejiang University PressZhejiang Daxue xuebao. Lixue ban1008-94972008-11-0135661461710.3785/j.issn.1008-9497.2008.06.005Limit distribution of Dickey-Fuller unit root test statistics with dependent residuals and a mean shift(含均值变点时相依误差时间序列的Dickey-Fuller单位根统计量的极限分布)YANGXiao-rong(杨晓蓉)0ZHANGLi-xin(张立新)1 1.Department of Mathematics, Zhejiang University, Hangzhou 310027, China( 1.浙江大学数学系，浙江 杭州 310027) 1.Department of Mathematics, Zhejiang University, Hangzhou 310027, China( 1.浙江大学数学系，浙江 杭州 310027)均值带有变点的相依误差的自回归时间序列，在单位根假设条件下，自回归系数的正则化估计及其F统计量的极限分布可以表示成Wiener过程的泛函，其形式包含了变点前后的两个均值μ1和μ2.正则化估计的收敛速度在均值变点的影响下，达到Op(T-3/2)(其中T是样本容量 ）.当μ1和μ2未知时，采用的最小二乘估计对这两个参数进行估计，其估计量μ1和µ2具有相合性.https://doi.org/10.3785/j.issn.1008-9497.2008.06.005单位根均值变点dickey-fuller检验统计量f统计量wiener过程 |
| spellingShingle | YANGXiao-rong(杨晓蓉) ZHANGLi-xin(张立新) Limit distribution of Dickey-Fuller unit root test statistics with dependent residuals and a mean shift(含均值变点时相依误差时间序列的Dickey-Fuller单位根统计量的极限分布) Zhejiang Daxue xuebao. Lixue ban 单位根 均值变点 dickey-fuller检验统计量 f统计量 wiener过程 |
| title | Limit distribution of Dickey-Fuller unit root test statistics with dependent residuals and a mean shift(含均值变点时相依误差时间序列的Dickey-Fuller单位根统计量的极限分布) |
| title_full | Limit distribution of Dickey-Fuller unit root test statistics with dependent residuals and a mean shift(含均值变点时相依误差时间序列的Dickey-Fuller单位根统计量的极限分布) |
| title_fullStr | Limit distribution of Dickey-Fuller unit root test statistics with dependent residuals and a mean shift(含均值变点时相依误差时间序列的Dickey-Fuller单位根统计量的极限分布) |
| title_full_unstemmed | Limit distribution of Dickey-Fuller unit root test statistics with dependent residuals and a mean shift(含均值变点时相依误差时间序列的Dickey-Fuller单位根统计量的极限分布) |
| title_short | Limit distribution of Dickey-Fuller unit root test statistics with dependent residuals and a mean shift(含均值变点时相依误差时间序列的Dickey-Fuller单位根统计量的极限分布) |
| title_sort | limit distribution of dickey fuller unit root test statistics with dependent residuals and a mean shift 含均值变点时相依误差时间序列的dickey fuller单位根统计量的极限分布 |
| topic | 单位根 均值变点 dickey-fuller检验统计量 f统计量 wiener过程 |
| url | https://doi.org/10.3785/j.issn.1008-9497.2008.06.005 |
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