Detecting a change in variances |
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Authors: | Toshio Sakata |
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Institution: | Faculty of General Education , Kumamoto University , Kumamoto, Japan |
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Abstract: | The likelihood ratio test for testing for a change in a sequence of variances of normal populations is derived. The alternative hypothesis considered is of a one-sided nature. For the test, the conservativeness of the Sidak bound is shown and the asymptotic version of the Sidak bound is also constructed. These bound are compared with the Bonferroni bound and the Worsley bound, using the Monte Carlo method. Finally Hsu's data of stock market returns is reanalysed, using the test. |
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Keywords: | a change of variances one-sided alternative likelihood ratio test comparisons of conservative bounds |
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