Hisashi Tanizaki — Asymtotically exact confidence intervals of CUSUM and CUSUMSQ tests: A Numerical Derivation Using Simulation Technique
Обсудите книгу на
Нашли опечатку? Выделите ее мышкой и нажмите Ctrl+Enter
Название: Asymtotically exact confidence intervals of CUSUM and CUSUMSQ tests: A Numerical Derivation Using Simulation Technique
Автор: Hisashi Tanizaki
Аннотация:
In testing a structural change, the approximated confidence intervals are conventionally used for CUSUM and CUSUMSQ tests. This paper numerically derives the asymptotically exact confidence intervals of CUSUM and CUSUMSQ tests. It can be easily extended to nonnormal and/or nonlinear models.
|
|
О проекте