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[求助]跪求

leon1130

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收藏 2006-06-29

哪为大侠有此文章：

Inclan, C. and Tiao, G. C., Use Of Cumulative Sums Of Squares For Retrospective Detection Of Changes Of Variances. J. Amer. Statist. Assoc. 1994, Vol.89, No.3, 913-923.

本人写论文急用，如有的话能否发至huming1130@yahoo.com.cn

本人不胜感激，金钱给不了，但饭还是请得起。

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jxcdsb

2006-6-29 23:45:00

部分信息：

Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance.

by Carla Inclan , George C. Tiao

1. INTRODUCTION

We study the detection of multiple changes of variance in a sequence of independent observations. There are series, particularly in the area of finance, that do not follow the usual assumption of constant variance underlying most models for time series. We consider series that present a stationary behavior for some time, then suddenly the variability of the error term changes; it stays constant again for some time at this new value, until another change occurs.

The statistical literature on changes of variance started with Hsu, Miller, and Wichern (1974), who offered this formulation as an alternative to the Pareto distribution to model stock returns. Previous studies had pointed out the nonnormality of these series and suggested the use of a heavy-tailed distribution Hsu, Miller, and Wichern proposed a normal probability model with a nonstationary variance subject to step changes at irregular time points.

There are many works aimed at identifying the point of change in a sequence of independent random variables (Hinkley 1971; Menzefricke 1981; Smith 1975, 1980). Booth and Smith (1982) used the Bayes ratio to decide whether a series presents a single change of variance at an unknown point. Hsu (1977, 1979, 1982) studied the detection of a variance shift at an unknown point in a sequence of independent observations, focusing on the detection of points of change one at a time because of the heavy computational burden involved in looking for several points of change simultaneously. Worsley (1986) used maximum likelihood methods to test a change in mean for a sequence of independent exponential family random variables, to estimate the change point, and to give confidence regions. His work focused on finding one change point at a time.

For autocorrelated observations, Wichern, Miller, and Hsu (1976) studied an autoregressive model of order one, having a sudden variance change at...

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jxcdsb

2006-6-29 23:51:00

文章已经发到你的邮箱。

需要的朋友可以下载：

56721.pdf
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leon1130

2006-6-30 13:17:00

非常感谢。3x

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