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標題: | 檢測向量自我迴歸模型下概似比的 p-value 估計 P-Value Approximation For The Log-Likelihood Ratio Statistic To Vector Autoregression |
作者: | Jia-Hao Jhang 張家豪 |
指導教授: | 杜憶萍(I-Ping Tu) |
關鍵字: | 改變點,改變測度,向量自我迴歸模型,概似比, change point,change of measure,vector autoregression,log-likelihood ratio, |
出版年 : | 2010 |
學位: | 碩士 |
摘要: | We are interested in the probability that the maximal value of a stochastic process exceeds a value a. The change-point detection is an example. A p-value approximation is obtained as a is large enough for testing a null hypothesis that all observations from the standard normal distribution are independent on the multi-dimensional index set against an alternative that they have a specific form on a particular subregion of the multi-dimensional index set, which is assigned to a vector autoregressive model in this paper. The VAR model is a natural extension of the univariate autoregressive model when multiple time series is concerned. Many methods have been developed to approximate the tail probabilities of the distribution of the maximum under null hypothesis. We use the method introduced by Yakir and Pollak to find a representation for the p-value approximation as a is large. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/46224 |
全文授權: | 有償授權 |
顯示於系所單位: | 數學系 |
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