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Variance changes detection in multivariate time series

  • Peña, Daniel
  • Galeano, Pedro

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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File URL: http://e-archivo.uc3m.es/bitstream/handle/10016/209/ws041305.pdf?sequence=1
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Paper provided by Universidad Carlos III de Madrid. Departamento de Estadística in its series DES - Working Papers. Statistics and Econometrics. WS with number ws041305.

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Date of creation: Feb 2004
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Handle: RePEc:cte:wsrepe:ws041305
Contact details of provider: Web page: http://portal.uc3m.es/portal/page/portal/dpto_estadistica

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  1. B. Abraham & W. Wei, 1984. "Inferences about the parameters of a time series model with changing variance," Metrika- International Journal for Theoretical and Applied Statistics, Springer, vol. 31(1), pages 183-194, December.
  2. D.S. Poskitt, . "Specification of echelon form VARMA models," Statistic und Oekonometrie 9305, Humboldt Universitaet Berlin.
  3. 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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