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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10016/209
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| Title: | Variance changes detection in multivariate time series |
| Author(s): | Galeano, Pedro
Peña, Daniel |
| Issued date: | Feb-2004 |
| URI: | http://hdl.handle.net/10016/209 |
| Abstract: | This paper studies the detection of step changes in the variances and in the correlation structure of the components of a vector of time series. Two procedures are considered. The first is based on the likelihood ratio test and the second on cusum statistics. These two procedures are compared in a simulation study and we conclude that the cusum procedure is more powerful. The procedures are illustrated in two examples.R |
| Serie / Nº.: | UC3M Working Papers. Statistics and Econometrics
2004-05 |
| Appears in Collections: | DES - Working Papers. Statistics and Econometrics. WS
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