分段平稳时间序列多变点估计Multiple Change Point Estimation of Piecewise Stationary Time Series
侯文慧,齐培艳
摘要(Abstract)：
变点问题一直是近年以来的热点问题之一。利用秩似然比扫描方法，研究分段平稳时间序列多变点的估计问题。以秩似然扫描函数为基础，构造似然比检验统计量，通过对整个序列进行扫描从而得到变点估计集合。最后针对六个不同的模型进行数值模拟以及对上证指数涨跌情况的实例分析，来验证所用方法的有效性与准确性。
关键词(KeyWords)： 分段平稳时间序列;多变点估计;秩似然比扫描方法
基金项目(Foundation): 山西省基础研究计划(202103021224274);; 山西省社会经济统计科研课题(KY[2021]145)
作者(Author): 侯文慧,齐培艳
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