Ratio test to detect change in the variance of linear process

DOI10.1080/02331880903461326zbMath1283.62035OpenAlexW2019107697MaRDI QIDQ5402591

Wenzhi Zhao, Zhiming Xia, Zheng Tian

Publication date: 14 March 2014

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331880903461326

zbMATH Keywords

rate of convergencelinear processesconsistent testratio testvariance change point

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

Related Items (5)

A strong convergence rate of estimator of variance change in linear processes and its applications ⋮ Ratio detections for change point in heavy tailed observations ⋮ Nuisance-parameter-free changepoint detection in non-stationary series ⋮ Abrupt change in mean using block bootstrap and avoiding variance estimation ⋮ Detection of multiple change points for linear processes under negatively super-additive dependence

Cites Work

• Inferences about the parameters of a time series model with changing variance
• Change-of-variance problem for linear processes with long memory
• Testing for changes in the covariance structure of linear processes
• Asymptotics for linear processes
• Detection of change in persistence of a linear time series
• Change detection in autoregressive time series
• On the Stable Paretian Behavior of Stock-Market Prices
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes

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