Random change point model with an application to the China Household Finance Survey

作     者：Meng Li Lingxi Gao Guangming Lv Xingwei Tong 

作者机构：School of StatisticsBeijing Normal UniversityBeijing 100875China 

出 版 物：《Science China Mathematics》 (中国科学（数学）（英文版）)

年 卷 期：2024年第67卷第10期

页      面：2373-2386页

核心收录：

学科分类：12[管理学] 02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 020204[经济学-金融学（含∶保险学）] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 

基　　金：supported by National Natural Science Foundation of China (Grant Nos. 11971064 and 12171374) 

主　　题：random change point EM algorithm SUP test debt nancial vulnerability 

摘      要：We consider a linear model with a change point according to the unknown random threshold of a covariate. We give the expectation-maximization(EM) estimations of the regression and change point parameters. The existence of the random change point is detected by the supremum(SUP) test of score statistics. Theoretically, we establish the convergence and asymptotic distribution of the estimation and show that the EM estimates converge in distribution to a normal distribution. In addition, the numerical performance of the proposed approach is demonstrated through simulation studies. Finally, applying our methodology to household financial decisions, we see that the average debt tolerance of Chinese households is estimated to be 1.1364 times the sum of total household income and financial assets. The effect of assets and income on consumption shows a rapid decline if the household exceeds the average debt tolerance.