Monitoring structural change
Monitoring structural change
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DOI：
10.2307/2171955
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发表时间：
1996-09-01
期刊：
影响因子：
6.1
通讯作者：
White, H
中科院分区：
文献类型：
--
作者：
Chu, CSJ;Stinchcombe, M;White, H
结构变化的当代检验处理的是“一次性”类型的检测：给定一个固定规模的历史数据集，这些检验旨在检测数据集中的结构突变。由于重对数律，一次性检验不能在每次有新数据到来时用于监测样本外稳定性，否则必然会以概率1指示出一个不存在的突变。我们提出并渐近分析了两种具有可控规模的实时监测程序：波动监测程序和累积和（CUSUM）监测程序。我们扩展了序贯检验文献中的一个不变性原理以得到我们的结果。模拟结果表明，所提出的监测程序确实具有可控的渐近规模。检测时间取决于参数变化的幅度、信噪比以及样本外突变点的位置。
Contemporary tests for structural change deal with detections of the ''one-shot'' type: given an historical data set of fixed size, these tests are designed to detect a structural break within the data set. Due to the law of the iterated logarithm, one-shot tests cannot be applied to monitor out-of-sample stability each time new data arrive without signalling a nonexistent break with probability one. We propose and analyze two realtime monitoring procedures with controlled size asymptotically: the fluctuation and CUSUM monitoring procedures. We extend an invariance principle in the sequential testing literature to obtain our results. Simulation results show that the proposed monitoring procedures indeed have controlled asymptotic size. Detection timing depends on the magnitude of parameter change, the signal to noise ratio, and the location of the out-of-sample break point.