Variance Changes Detection In Multivariate Time Series
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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- 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.
- 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.
- 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.
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