運用 Karhunen-Loeve展開式 建構資料驅動的尼曼平滑檢定

Data-Driven Smooth Tests Based on Karhunen-Loeve Expansion

林子期(Tzu-Chi Lin)

指導教授 ： 管中閔

國立臺灣大學/社會科學院/經濟學研究所/碩士(2009年)

https://doi.org/10.6342/NTU.2009.00606

摘要

無資料

關鍵字

尼曼平滑檢定 ； Karhunen-Loeve 展開式 ； 結構轉變 ； 定態；

並列摘要

New data-driven smooth tests are proposed in this thesis. The new tests
are proposed to eschew the downward weighting problem of the traditional
omnibus tests, and the new tests are constructed based on the components
of Karhunen-Lo′eve expansion of limiting process. As examples, we construct
tests for the null hypothesis of stationarity, coefficient stability, symmetric
dynamics of quantile autoregressive model, and bivariate independence.
Simulation results show that, new tests have moderate size control and nice
power performance for a wide range of alternatives. In contrast to traditional
omnibus tests, new tests are more robust to complex models and perform well
under high-frequency alternatives.

並列關鍵字

Cramer-von Mises test ； Karhunen-Loeve Expansion ； Neyman smooth test ； orthonormal polynomial ； integral equation ； stationarity ； structural change ； quantile autoregressive ； bivariate independence

參考文獻

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