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自回归模型参数与阶数变化的检验AI 解读

The problem of testing whether or not a change has occurred in the parameter values and order of an autoregressive model is considered. It is shown that if the white noise in the AR model is weakly stationary with finite fourth moments, then under the null hypothesis of no changepoint, the normalized Gaussian likelihood ratio test statistic converges in distribution to the Gumbel extreme value distribution. An asymptotically distribution-free procedure for testing a change…

基于 Hannan–Rissanen 方法的非平稳 ARMAX 模型估计AI 解读

We consider in this paper the estimation problems for both orders and coefficients of linear feedback control systems, described by ARMAX models. The estimation algorithms are inspired by the Hannan-Rissanen method used for the estimation of stationary ARMA models, while the convergence analyses are based on limit theorems for both double array martingales and nonnegative supermartingales, and on techniques of stochastic Lyapunov functions. Traditionally used assumptions,…