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Tests for Variance Shift at an Unknown Time Point

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References

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1964Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time520 cited
1966Test Procedures for Possible Changes in Parameters of Statistical Distributions Occurring at Unknown Time Points136 cited

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2001ON CHANGE POINT DETECTION AND ESTIMATION96 cited
1982A Bayesian Robust Detection of Shift in the Risk Structure of Stock Market Returns90 cited
1993The Risk and Required Return of Common Stock following Major Price Innovations83 cited
1979The market speed of adjustment to new information72 cited
1993Detection of Multiple Changes of Variance Using Posterior Odds69 cited
2006Empirical likelihood ratio test for the change-point problem61 cited
2005Covariance changes detection in multivariate time series58 cited
2000Multiscale detection and location of multiple variance changes in the presence of long memory58 cited

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1999

A new stochastically flexible event methodology with application to Proposition 103

53 cited

2004A semiparametric changepoint model43 cited

1989Statistical analysis of “structural change”: An annotated bibliography42 cited

1999Use of fuzzy statistical technique in change periods detection of nonlinear time series34 cited

1999Detecting and modeling changing volatility in the copper futures market34 cited