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Moving ratio test for multiple changes in persistence

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Abstract

This paper proposes a moving ratio test, which is a modified version of ratio test by involving a bandwidth parameter, to detect multiple changes in persistence, and to determine the direction of switch. The asymptotic distribution as well as its consistency are established. In order to estimate the change points, the authors propose a two step estimate approach. Simulations illustrate the performance of the test and estimate procedures in finite samples. An application to the analysis of Sweden/US foreign exchange rate demonstrates the validity of the procedure in practice.

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Authors and Affiliations

  1. Department of Mathematics, Qinghai Normal University, Xining, 810008, China

    Zhanshou Chen

  2. Department of Applied Mathematics, Northwestern Polytechnical University, Xi’an, 710072, China

    Zheng Tian

Authors
  1. Zhanshou Chen
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  2. Zheng Tian
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Corresponding author

Correspondence to Zhanshou Chen.

Additional information

This research is supported by the National Natural Science Foundation of China under Grant Nos. 61065009 and 60972150.

This paper was recommended for publication by Editor Guohua ZOU.

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Chen, Z., Tian, Z. Moving ratio test for multiple changes in persistence. J Syst Sci Complex 25, 582–593 (2012). https://doi.org/10.1007/s11424-012-9255-9

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  • DOI: https://doi.org/10.1007/s11424-012-9255-9

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