An efficient algorithm to estimate the change in variance

DOI10.1016/J.ECONLET.2018.03.031MaRDI QIDQ1787600zbMATH OpenOpenAlexFDO

Authors 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

change pointlinear processesCUSUM estimator

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 922034 (Why is no real title available?)
• A strong convergence rate of estimator of variance change in linear processes and its applications
• Change point estimation of the variance of linear processes
• Change-point estimation in ARCH models
• Variance change-point detection in panel data models

Cited in

(4)

• Asymptotic algorithm for computing the sample variance of interval data
• An efficient algorithm for estimating a change-point
• On variance estimation under shifts in the mean
• Inference for multiple change points in heavy-tailed time series via rank likelihood ratio scan statistics

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