The Effect of Serial Correlation on Tests for Parameter Change at Unknown Time
序列相关对未知时点参数变化检验的影响
It is shown that serial correlation can produce striking effects in distributions of change-point statistics. Failure to account for these effects is shown to invalidate change-point tests, either through increases in the type 1 error rates if low frequency spectral mass predominates in the spectrum of the noise process, or through diminution of the power of the tests when high frequency mass predominates. These effects are characterized by the expression ${2\pi f(0)/\int^\pi_-\pi f(\lambda)d\lambda}$…