纸考虑在 AR (p) 模型的参数为一个变化点测试的问题。广场测试(RCUSQ ) 的剩余 CUSUM 的 asymptotically 限制的分发仍然是在空假设下面的一座标准 Brownian 桥的 sup,这被显示出。我们也经由模拟证明我们的 asymptotic 结果在有限样品提供好近似。
The paper considers the problem of testing for a change point in the parameters of AR(p) models.It is shown that the asymptotically limiting distribution of the residual CUSUM of squares test(RCUSQ) is still the sup of a standard Brownian bridge under null hypothesis.We also show via simulations that our asymptotic results provide good approximations in finite samples.