MOVING RATIO TEST FOR MULTIPLE CHANGES IN PERSISTENCE

This paper proposes a moving ratio test, which is a modified version of ratio test by involving a bandwidth parameter, to detect multiple changes in persistence, and to determine the direction of switch. The asymptotic distribution as well as its consistency are established. In order to estimate the...

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Bibliographic Details
Published in:Journal of systems science and complexity 2012-06, Vol.25 (3), p.582-593
Main Authors: Chen, Zhanshou, Tian, Zheng
Format: Article
Language:English
Subjects:
Complex Systems
Control
Mathematics
Mathematics and Statistics
Mathematics of Computing
Operations Research/Decision Theory
Statistics
Systems Theory
估计方法
持久性
有限样本
比例
渐近分布
演示程序
试验
运动
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Summary:This paper proposes a moving ratio test, which is a modified version of ratio test by involving a bandwidth parameter, to detect multiple changes in persistence, and to determine the direction of switch. The asymptotic distribution as well as its consistency are established. In order to estimate the change points, the authors propose a two step estimate approach. Simulations illustrate the performance of the test and estimate procedures in finite samples. An application to the analysis of Sweden/US foreign exchange rate demonstrates the validity of the procedure in practice.
ISSN:1009-6124
1559-7067
DOI:10.1007/s11424-012-9255-9