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Detection of a change-point in variance by a weighted sum of powers of variances test |
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| Authors: | M. Xu B. Jin |
| Affiliation: | 1. Global Risk Management, Scotiabank, Toronto, Canada;2. Department of Statistics and Finance, University of Science and Technology of China, Hefei, People's Republic of China |
| Abstract: | 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. |
| Keywords: | Change-point change in variance weighted sum of powers of variances asymptotics approximate critical values |