正交级数方法与非平稳时间序列模型估计和检验的一些研究进展

董朝华, 高集体, 朱平芳

Recent Developments on Nonstationary Time Series Model Estimation and Testing Driven by Orthogonal Series Method

Chaohua DONG, Jiti GAO, Pingfang ZHU

表11 检验功效: $ m(x)=\theta_0 x^2(2+x+\sin(x))+\Delta_n(x), \ \theta_0=1$

n 检验水平1% 检验水平10% κ= 1/5 1/4.5 1/4 1/5 1/4.5 1/4 $ \alpha_0=0.01, \ \ a=-0.05, \ \ b=-0.1$ 200 0.9978 0.9984 0.9988 0.9982 0.9988 0.9990 500 0.9988 0.9990 0.9992 0.9992 0.9990 0.9996 1200 0.9990 0.9988 0.9990 0.9992 0.9992 0.9996 $ \alpha_0=0.05, \ \ a=0.2, \ \ b=0.9$ 200 0.7478 0.7934 0.8172 0.8234 0.8960 0.9014 500 0.8174 0.8260 0.8474 0.8778 0.9052 0.9182 1200 0.8632 0.8844 0.8928 0.9114 0.9418 0.9416