Monitoring Change in Persistence Against the Null of Difference-Stationarity in Infinite Variance Observations
Monitoring Change in Persistence Against the Null of Difference-Stationarity in Infinite Variance Observations
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DOI：
10.1080/03610918.2013.765469
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发表时间：
2015-01
期刊：
影响因子：
--
通讯作者：
Zhanshou Chen
中科院分区：
文献类型：
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作者：
Zhanshou Chen
在这篇文章中，我们提出了一个移动核加权方差比统计量来监测无穷方差观测值的持续性变化。我们重点关注稳定律吸引域中序列和局部到有限方差序列的I（1）到I（0）持续性变化。证明了监测统计量的零分布及其相合性。特别地，提出了一个自助程序来确定所导出的渐近分布的临界值取决于未知的尾部指标。通过仿真和对高频金融数据的应用，说明了所提出的监测方法的小样本性能。
In this article, we propose a moving kernel-weighted variance ratio statistic to monitor persistence change in infinite variance observations. We focus on I(1) to I(0) persistence change for sequences in the domain of attraction of a stable law and local-to-finite variance sequences. The null distribution of the monitoring statistic and its consistency are proved. In particular, a bootstrap procedure is proposed to determine the critical values for the derived asymptotic distribution depends on unknown tail index. The small sample performances of proposed monitoring procedure are illustrated by both simulation and application to a high frequency financial data.