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Variance Changes Detection In Multivariate Time Series

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Author Info
Pedro Galeano ()
Daniel Peña ()
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

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Paper provided by Universidad Carlos III, Departamento de Estadística y Econometría in its series Statistics and Econometrics Working Papers with number ws041305.

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Date of creation: Feb 2004
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Handle: RePEc:cte:wsrepe:ws041305

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  1. B. Abraham & W. Wei, 1984. "Inferences about the parameters of a time series model with changing variance," Metrika, Springer, vol. 31(1), pages 183-194, December. [Downloadable!] (restricted)
  2. Booth, N.B. & Smith, A.F.M., 1982. "A Bayesian approach to retrospective identification of change-points," Journal of Econometrics, Elsevier, vol. 19(1), pages 7-22, May. [Downloadable!] (restricted)
  3. Lutkepohl, Helmut & Poskitt, D S, 1996. "Specification of Echelon-Form VARMA Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(1), pages 69-79, January.
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  1. Ke-Li Xu & Peter C.B. Phillips, 2006. "Adaptive Estimation of Autoregressive Models with Time-Varying Variances," Cowles Foundation Discussion Papers 1585, Cowles Foundation, Yale University. [Downloadable!]
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