| 引用本文: | 陈占寿,田铮.一类厚尾随机信号平稳性的在线bootstrap监测[J].控制理论与应用,2010,27(7):933~938.[点击复制] |
| CHEN Zhan-shou,TIAN Zheng.Online bootstrap monitoring of the stationarity for a class of heavy tailed random signals[J].Control Theory and Technology,2010,27(7):933~938.[点击复制] |
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| 一类厚尾随机信号平稳性的在线bootstrap监测 |
| Online bootstrap monitoring of the stationarity for a class of heavy tailed random signals |
| 摘要点击 1778 全文点击 1239 投稿时间：2009-06-23 修订日期：2009-11-06 |
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| DOI编号 10.7641/j.issn.1000-8152.2010.7.CCTA090809 |
| 2010,27(7):933-938 |
| 中文关键词 在线监测 厚尾随机信号 平稳性 bootstrap |
| 英文关键词 online monitoring heavy tailed random signal staionarity bootstrap |
| 基金项目 国家自然科学基金资助项目(60972150, 10926197); 西北工业大学科技创新基金资助项目(2007KJ01033). |
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| 中文摘要 |
| 脉冲噪声的干扰使随机信号出现厚尾性. 对噪声项服从对称稳定分布的在线厚尾随机信号, 提出了基于核加权的方差比率方法来连续监测其平稳性. 给出了监测统计量在非平稳原假设下的极限分布, 证明了此方法的一致性. 为确定监测统计量的临界值并避免估计厚尾指数, 提出了bootstrap重抽样方法. 最后通过模拟实验和分析两组实际数据说明了本文方法的有效性. |
| 英文摘要 |
| Impulse noise makes random signals occur heavy tails. For the online heavy tailed random signal with symmetrically distributed stable noise, we propose a kernel weighted variance ratio procedure to sequentially detect its stationarity. The asymptotic distribution of the monitoring statistic under nonstationary null hypothesis is derived, and its consistency is proved. In order to determine the critical values of the monitoring statistic and avoid the estimation of the tail index, we propose a bootstrap resampling method. Simulations and analysis of two groups of real data validate the proposed procedure. |