Detection of a change-point in variance by a weighted sum of powers of variances test

DOI10.1080/02664763.2018.1510475MaRDI QIDQ5036596zbMATH OpenOpenAlexWikidataFDO

Authors Min Xu, Yuehua Wu, Baisuo Jin

Publication date 23 February 2022

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664763.2018.1510475

zbMATH Keywords

approximate critical valuesasymptoticschange in variancechange-pointweighted sum of powers of variances

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

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Cites work

• A Bayesian Analysis for Change Point Problems
• A Cluster Analysis Method for Grouping Means in the Analysis of Variance
• Change-of-variance problem for linear processes with long memory
• Change-point detection for variance piecewise constant models
• Consistent two‐stage multiple change‐point detection in linear models
• CONTINUOUS INSPECTION SCHEMES
• Estimating the number of change-points via Schwarz' criterion
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• Optimal detection of changepoints with a linear computational cost
• Parametric statistical change point analysis. With applications to genetics, medicine, and finance
• The limit law of the iterated logarithm
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance

Cited in

(12)

• Change point detection for nonparametric regression under strongly mixing process
• Identification of the structure break point for data with changing variance
• The CUSUM statistics of change-point models based on dependent sequences
• Variance change point detection under a smoothly-changing mean trend with application to liver procurement
• On testing for a change in variance: new tests and a Monte Carlo study
• Hajek-Renyi-type inequality for (, )-mixing sequences and its application to change-point model
• Bootstrap-based inference for multiple variance changepoint models
• Bootstrap-based inference for multiple mean-variance changepoint models
• Convergence of the CUSUM estimation for a mean shift in linear processes with random coefficients
• The weighted sum of powers in mean for estimating a change point in linear processes with random coefficients
• A test for trend gradual changes in heavy tailed AR(p) sequences
• Change-point tests for parameters of diffusion processes from discrete observations

Describes a project that uses

Uses Software

• changepoint

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