摘要
提出了应用MCMC方法的连续时间变结构模型的单一变结构点的定位方法,并提出了连续时间多变结构点模型的变结构点定位方法;该方法在确定变结构点位置的同时,又能估计相应的模型参数.用该方法对上海股市综合指数的收益序列进行了变结构分析,理论与实证结果表明该方法是有效且可行的.
The method for detecting and locating single structural change point using MCMC method is proposed. The method for detecting and locating multiple structural change points of continuous time models is also put forward. The method is proved to be effective and feasible by theoretical analysis and the structural change analysis of the return series of composite index of Shanghai stock markets.
出处
《系统工程学报》
CSCD
北大核心
2007年第4期344-351,385,共9页
Journal of Systems Engineering
基金
国家自然科学基金资助项目(70301006)
