Abstract

We propose and investigate a new test of model instability in the mean. The test is based on p-variation of stepwise CUSUM process. We establish a limiting distribution of the test statistics under null as well as under contiguous alternative.

中文翻译：

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P-CUSUM 过程的变化和测试均值的变化

摘要

我们提出并研究了一种新的均值模型不稳定性测试。该检验基于逐步 CUSUM 过程的p变异。我们在 null 和连续替代下建立了测试统计的限制分布。