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
|Date of creation:||Feb 2004|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://portal.uc3m.es/portal/page/portal/dpto_estadistica
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:cte:wsrepe:ws041305. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.