项目名称: 变点分析中的统计推断问题及其应用研究
项目编号: No.11201108
项目类型: 青年科学基金项目
立项/批准年度: 2013
项目学科: 数理科学和化学
项目作者: 谭常春
作者单位: 合肥工业大学
项目金额: 22万元
中文摘要: 变点问题的研究和应用源于质量控制,是统计中的热门课题之一。 除了应用于质量控制之外,目前已广泛应用于经济、金融、流行病、心电图等变结构问题的处理,变点理论为变结构的处理提供了理论基础。在对变点问题进行系统理解和研究的基础上,本项目主要研究经济、金融等领域中的变点检测、估计和变点估计的大样本性质及其在金融中的应用。包括计量经济分析中面板数据变点的检测、估计以及估计量的相合性性质和金融时间序列数据中的变结构问题,并进一步研究一般情况下变点估计的收敛速度和渐近分布问题。尤其是变点估计的渐近分布研究,由于涉及较多的大样本理论,国内外从事这方面研究的学者还不多,但是这对变点理论的深入和实际应用有着非常重要的意义。我们期望根据现有的信息,利用变点理论能够预报或预警金融中的突发事件和较大风险的发生,尽可能防范和减少金融风险。
中文关键词: 变点;Gamma分布;单指数模型;自正则;渐近分布
英文摘要: Change point problems have originally arisen in the context of quality control, where one tipically observes the out put of a production line and would wish to signal deviation from an acceptable level while observing the data, and it is one of the hot topic in statistic. Besides quanlity control, change point problem analysis is widely used economics and finace、epidemicology、electrocardiograms and so on. Based on the systemic study about change point theory, we mainly research the test,estimation of change point and its application in economics and finance, such as the test、estimation and consistency of change ponit estimator about panel data in econometrics analysis, structure change in finance time sieries and so on. Furthermore, we will study the convergence rate and asyptotic distribution of change point estimator on more general conditon. Espicially, the research on asyptotic distribution of change point estimator, due to involving much large sample theory, now a few statisticain devote theirself to this study , but it is very important for the depth of change point theory and the application in practice. At the same time, with the help of change point theory, we ecpect to make a prediction or caution on abrupt event and the large risk in finance, and prevent or decrease the finance risk b
英文关键词: Change Point;Gamma distribution;single index model;Self-normalization;Asymptotic distribution