ABOUT CHECKING THE STRUCTURAL SHEET AVAILABILITY IN RESEARCHES OF TIME SERIES
Abstract
In the article constructs the criterion (test) that allows us to check the hypothesis on the homogeneity and independence of sampling elements of random variables having the continuous distribution. The constructed criterion is exact and, in contrast to the various criteria of the series, does not require the imposition of conditions on the sample size and conditions for the moments of random variables. The criterion does not depend on the distribution of the observed random variables and can be applied, including, for samples of small volume. This test is suitable for testing the hypothesis of homogeneity and independence of perturbations (errors) of regression models. Authors describe the methodology for applying the developed criterion for revealing the structural shifts observed in time series. The structural shift in 2008 is revealed in study of the dynamics of the Russian Federation gross domestic product in the period from 2000 to 2008 years.
About the Authors
A. V. Logachev
Novosibirsk State University of Economics and Management
Russian Federation
Russian Federation
Candidate of Physical and Mathematical Sciences, Associate Professor, Department of Statistics
S. E. Khrushchev
Novosibirsk State University of Economics and Management
Russian Federation
Russian Federation
Candidate of Physical and Mathematical Sciences, Associate Professor, Department of Statistics
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Review
For citations:
Logachev A.V., Khrushchev S.E. ABOUT CHECKING THE STRUCTURAL SHEET AVAILABILITY IN RESEARCHES OF TIME SERIES. Vestnik NSUEM. 2017;(2):328-332. (In Russ.)
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