Detection of a change-point in variance by a weighted sum of powers of variances test

被引：17

作者：

Xu, M. ^{[1
]}

Wu, Y. ^{[2
]}

Jin, B. ^{[3
]}

机构：

[1] Scotiabank, Global Risk Management, Toronto, ON, Canada

[2] York Univ, Dept Math & Stat, Toronto, ON, Canada

[3] Univ Sci & Technol China, Dept Stat & Finance, Hefei, Anhui, Peoples R China

来源：

JOURNAL OF APPLIED STATISTICS | 2019年 / 46卷 / 04期

基金：

加拿大自然科学与工程研究理事会;

关键词：

Change-point; change in variance; weighted sum of powers of variances; asymptotics; approximate critical values;

D O I：

10.1080/02664763.2018.1510475

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper proposes a weighted sum of powers of variances test for detecting changes in variance of a data sequence. Asymptotic critical value formulas are derived for this test. The modified weighted sum of powers of variances test is also introduced so that the accuracy of change-point detection is highly improved for a sample of small size. Simulation studies and real data analysis are presented to assess the proposed tests.

引用

页码：664 / 679

页数：16

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