An efficient algorithm to estimate the change in variance

DOI10.1016/J.ECONLET.2018.03.031zbMATH Open1401.62175OpenAlexW2796210680MaRDI QIDQ1787600FDOQ1787600

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

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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)

Cites Work

• Title not available (Why is that?)
• Change-point estimation in ARCH models
• Title not available (Why is that?)
• Variance change-point detection in panel data models
• A strong convergence rate of estimator of variance change in linear processes and its applications

Cited In (2)

• Asymptotic algorithm for computing the sample variance of interval data
• Inference for multiple change points in heavy-tailed time series via rank likelihood ratio scan statistics

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