Scan statistics for detecting a local change in variance for normal data with unknown population variance
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References listed on IDEAS
- Russell Davidson & James MacKinnon, 2000.
"Bootstrap tests: how many bootstraps?,"
Taylor & Francis Journals, vol. 19(1), pages 55-68.
- Russell Davidson & James G. MacKinnon, 2001. "Bootstrap Tests: How Many Bootstraps?," Working Papers 1036, Queen's University, Department of Economics.
- Davidson, Russell & MacKinnon, James, 2001. "Bootstrap Tests: How Many Bootstraps?," Queen's Economics Department Working Papers 273506, Queen's University - Department of Economics.
- Andreu Sansó & Vicent Aragó & Josep Lluís Carrion, 2003. "Testing for Changes in the Unconditional Variance of Financial Time Series," DEA Working Papers 5, Universitat de les Illes Balears, Departament d'Economía Aplicada.
- Loredana Ureche-Rangau & Franck Speeg, 2011. "A simple method for variance shift detection at unknown time points," Economics Bulletin, AccessEcon, vol. 31(3), pages 2204-2218.
- Wang, Xiao & Zhao, Bo & Glaz, Joseph, 2014. "A multiple window scan statistic for time series models," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 196-203.
More about this item
KeywordsBootstrap test; Generalized likelihood ratio test; Minimum P-value statistic; Moving sum of squares; Multiple window scan; Variable window scan;
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