Off-line testing for a changed segment in the sample variance (Q852272)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Off-line testing for a changed segment in the sample variance |
scientific article; zbMATH DE number 5076497
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Off-line testing for a changed segment in the sample variance |
scientific article; zbMATH DE number 5076497 |
Statements
Off-line testing for a changed segment in the sample variance (English)
0 references
28 November 2006
0 references
We introduce and investigate a new class of test statistics for the model of a changed segment in the sample variance. We derive the asymptotic distribution of the test statistic under the null hypothesis of no change and its consistency under the changed segment alternative. Consistent procedures of estimating the length and beginning of a changed segment are proposed. Monte-Carlo simulations support the theoretical results.
0 references
0 references
0 references
0 references
