中文摘要：

将基于自正则的K—S方法应用于检测我国上证综指收盘价序列的均值变点．与传统的Kolmogorov-Smirnov检验以及“滑窗”检验相比，基于自正则的K—S检验方法避免了长程方差的相合估计和带宽参数的选取．最终构造的检验统计量的渐近分布不受冗余参数的影响，而且其功效也是单调的．

英文摘要：

A self-normalization based Kolmogorov-Smirnov test was employed to test the Shanghai composite index＇s mean shift. Compared with the traditional K-S test and the lag-window test, the new method doesn＇t require a long-run variance estimator, avoiding the annoying choice of a bandwidth parameters. The asymoptotical distribution of the resulting test statistic is not affected by redundant parameters and its power is monotonic.