Off-line testing for a changed segment in the sample variance (Q852272)
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English | Off-line testing for a changed segment in the sample variance |
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Off-line testing for a changed segment in the sample variance (English)
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28 November 2006
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We introduce and investigate a new class of test statistics for the model of a changed segment in the sample variance. We derive the asymptotic distribution of the test statistic under the null hypothesis of no change and its consistency under the changed segment alternative. Consistent procedures of estimating the length and beginning of a changed segment are proposed. Monte-Carlo simulations support the theoretical results.
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