RT Generic
T1 Variance changes detection in multivariate time series
A1 Galeano, Pedro
A1 Peña, Daniel
AB 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
YR 2004
FD 2004-02
LK http://hdl.handle.net/10016/209
UL http://hdl.handle.net/10016/209
LA eng
LA eng
DS e-Archivo
RD 28 abr. 2024