标题： 局部自适应估计方法及其在一元时间序列中的应用 显示英文标题

标题： Locally adaptive estimation methods with application to univariate time series

摘要： 本文从理论和经验的角度统一研究了单变量时间序列中的三种局部自适应估计方法。 给出了计算临界值的一般程序。 基础模型涵盖了指数族的所有分布，提供了极大的灵活性。 这些方法被应用于符合高斯、波动性、泊松、指数和伯努利模型的模拟和真实金融数据。 数值结果表明这些方法的表现非常合理。 显示英文摘要

摘要： The paper offers a unified approach to the study of three locally adaptive estimation methods in the context of univariate time series from both theoretical and empirical points of view. A general procedure for the computation of critical values is given. The underlying model encompasses all distributions from the exponential family providing for great flexibility. The procedures are applied to simulated and real financial data distributed according to the Gaussian, volatility, Poisson, exponential and Bernoulli models. Numerical results exhibit a very reasonable performance of the methods.