论文标题
在异常值的存在下，顺序变更点测试：基于密度差异的方法
Sequential change point test in the presence of outliers: the density power divergence based approach
论文作者
论文摘要
在这项研究中，我们考虑了监测参数变化的问题，尤其是在异常值的存在下。为了提出一个针对异常值的连续过程，我们使用密度差异来得出探测器并停止构成我们程序的时间。我们首先研究了i.i.d的顺序程序的渐近特性。序列，然后将提出的过程扩展到固定时间序列模型，在该模型中，我们提供一组足够的条件，在该条件下，所提出的过程具有渐近控制的大小和功率一致性。作为应用程序，我们的过程应用于Garch型号。我们通过模拟研究证明了拟议程序的有效性和鲁棒性。最后，提供了两个真实的数据分析，以说明提出的顺序程序的有用性。
In this study, we consider a problem of monitoring parameter changes particularly in the presence of outliers. To propose a sequential procedure that is robust against outliers, we use the density power divergence to derive a detector and stopping time that make up our procedure. We first investigate the asymptotic properties of our sequential procedure for i.i.d. sequences, and then extend the proposed procedure to stationary time series models, where we provide a set of sufficient conditions under which the proposed procedure has an asymptotically controlled size and consistency in power. As an application, our procedure is applied to the GARCH models. We demonstrate the validity and robustness of the proposed procedure through a simulation study. Finally, two real data analyses are provided to illustrate the usefulness of the proposed sequential procedure.
