Tests for Variance Shift at an Unknown Time Point

D. A. Hsu

132 citations0/0 files storedJournal of the Royal Statistical Society Series C (Applied Statistics)

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Advanced Statistical Process Monitoring Probability and Statistical Research Financial Risk and Volatility Modeling

Abstract

SUMMARY Two tests for variance shift in a sequence of independent normal random variables, when the initial level of variance is unknown, are investigated in this article. The first is a locally most powerful test, and the second is a test based upon cusums of x2 values. Distribution functions of the two test statistics are approximated through the use of Edgeworth expansions and/or the beta distribution by matching the first few moments. Critical points of both test statistics are tabulated for various sample sizes. Powers of the two tests are compared using a Monte Carlo example. An illustration of the application of the tests to stock market price analysis is provided.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 132 citations exist upstream.

References

1972Portfolio Theory and Capital Markets.1964Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time 1966Test Procedures for Possible Changes in Parameters of Statistical Distributions Occurring at Unknown Time Points

Cited by

1987Forecasting the volatility of currency exchange rates 2002Unit root tests with a break in innovation variance 2002Testing for homogeneity of variance in time series: Long memory, wavelets, and the Nile River 2001ON CHANGE POINT DETECTION AND ESTIMATION 1982A Bayesian Robust Detection of Shift in the Risk Structure of Stock Market Returns 1993The Risk and Required Return of Common Stock following Major Price Innovations 1979The market speed of adjustment to new information 1993Detection of Multiple Changes of Variance Using Posterior Odds

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.