Deterministic Parameter Change Models in Continuous and Discrete Time
Deterministic Parameter Change Models in Continuous and Discrete Time
复制标题
连续和离散时间的确定性参数变化模型
DOI：
10.1111/jtsa.12456
复制
发表时间：
2019
影响因子：
0.9
通讯作者：
Chambers M
中科院分区：
文献类型：
--
作者：
Chambers M
在连续时间自回归模型中，我们考虑了一个关于确定性趋势函数的确定性一次性参数变化模型。详细介绍了精确的离散时间模拟模型，并与离散时间文献中采用的相应参数变化模型进行了比较。探讨了连续时间模型和离散时间模拟模型中参数之间的关系。我们的结果表明，文献中使用的离散时间模型可以用相应的连续时间模型来证明，对于(最可能的)变点与离散时间观测点之一不重合的情况，只需要很小的修改。讨论了我们的结果对一些现有的离散时间模型和测试过程的影响。
We consider a model of deterministic one‐time parameter change in a continuous time autoregressive model around a deterministic trend function. The exact discrete time analogue model is detailed and compared to corresponding parameter change models adopted in the discrete time literature. The relationships between the parameters in the continuous time model and the discrete time analogue model are also explored. Our results show that the discrete time models used in the literature can be justified by the corresponding continuous time model, with a only a minor modification needed for the (most likely) case where the changepoint does not coincide with one of the discrete time observation points. The implications of our results for a number of extant discrete time models and testing procedures are discussed.