An efficient algorithm to estimate the change in variance

DOI10.1016/J.ECONLET.2018.03.031zbMath1401.62175OpenAlexW2796210680MaRDI QIDQ1787600

Ruibing Qin, Junjie Ma

Publication date: 5 October 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2018.03.031

zbMATH Keywords

linear processeschange pointCUSUM estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10)

Related Items (1)

Inference for multiple change points in heavy-tailed time series via rank likelihood ratio scan statistics

Cites Work

• Variance change-point detection in panel data models
• Change-point estimation in ARCH models
• A strong convergence rate of estimator of variance change in linear processes and its applications
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