https://scholars.lib.ntu.edu.tw/handle/123456789/50662
標題: | 運用 Karhunen-Loeve展開式構資料驅動的尼曼平滑檢定 Data-Driven Smooth Testsased on Karhunen-Loeve Expansion |
作者: | 林子期 Lin, Tzu-Chi |
關鍵字: | 尼曼平滑檢定;Karhunen-Loeve 展開式;結構轉變;定態;;Cramer-von Mises test;Karhunen-Loeve Expansion;Neyman smooth test;orthonormal polynomial;integral equation;stationarity;structural change;quantile autoregressive;bivariate independence | 公開日期: | 2009 | 摘要: | New data-driven smooth tests are proposed in this thesis. The new testsre proposed to eschew the downward weighting problem of the traditionalmnibus tests, and the new tests are constructed based on the componentsf Karhunen-Lo′eve expansion of limiting process. As examples, we constructests for the null hypothesis of stationarity, coefficient stability, symmetricynamics of quantile autoregressive model, and bivariate independence.imulation results show that, new tests have moderate size control and niceower performance for a wide range of alternatives. In contrast to traditionalmnibus tests, new tests are more robust to complex models and perform wellnder high-frequency alternatives. |
URI: | http://ntur.lib.ntu.edu.tw//handle/246246/179479 |
顯示於: | 經濟學系 |
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ntu-98-R96323032-1.pdf | 23.53 kB | Adobe PDF | 檢視/開啟 |
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