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5 检验功效: $ m(x)=10\exp(-\theta_1 x^2)+\Delta_n(x), \theta_1=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, \ \ \ \ \ \ \beta_0=-0.01 $ 200 0.7810 0.7906 0.8016 0.9040 0.9070 0.9126 500 0.8196 0.8300 0.8410 0.9156 0.9176 0.9210 1200 0.8544 0.8580 0.8660 0.9328 0.9320 0.9344 $ \alpha_0=0.01, \ \ \ \ \ \ \beta_0=0.05$ 200 0.7840 0.7956 0.8070 0.9030 0.9047 0.9092 500 0.8112 0.8252 0.8326 0.9150 0.9170 0.9220 1200 0.8528 0.8588 0.8694 0.9318 0.9330 0.9380