Detection of Multiple Changes of Variance Using Posterior Odds

Carla Inclán

69 citations0/0 files storedJournal of Business and Economic Statistics

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Financial Risk and Volatility Modeling Advanced Statistical Process Monitoring Bayesian Methods and Mixture Models

Abstract

This article uses a Bayesian procedure based on obtaining posterior odds to assess the evidence about the existence of multiple changes of variance in a time series. The approach is developed for sequences of independent observations. An extension to consider autoregressive models is also discussed. The information on the data about the location of the change points and the magnitude of the variances at the different pieces of the series is summarized through posterior distributions. The procedure is illustrated with a well-known financial series.

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References

1977Time Series Analysis: Forecasting and Control 1977Time Series Analysis: Forecasting and Control 1962Applied Statistical Decision Theory 1962Applied Statistical Decision Theory.1989Modeling Heteroscedasticity in Daily Foreign-Exchange Rates 1988The statistical properties of daily foreign exchange rates: 1974–1983 1978The Problem of the Nile: Conditional Solution to a Changepoint Problem 1986Confidence Regions and Tests for a Change-Point in a Sequence of Exponential Family Random Variables

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