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Technometrics Volume 21, 1979 - Issue 3
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Original Articles

Robust Methods for Detection of Shifts of the Innovation Variance of a Time Series

William W. Davis Department of Statistics, Carnegie-Mellon University, Pittsburgh, PA, 15213
Pages 313-320 | Published online: 09 Apr 2012

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Baisuo Jin, Mong-Na Lo Huang & Baiqi Miao. (2011) Testing for variance changes in autoregressive models with unknown order. Journal of Applied Statistics 38:5, pages 927-936.
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Tze-San Lee. (2010) Change-Point Problems: Bibliography and Review. Journal of Statistical Theory and Practice 4:4, pages 643-662.
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Carla Inclán. (1993) Detection of Multiple Changes of Variance Using Posterior Odds. Journal of Business & Economic Statistics 11:3, pages 289-300.
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D L. Hawkins. (1984) Sequential procedures for detecting deviations in the parameters of the autoregressive model from specified targets. Sequential Analysis 3:2, pages 121-154.
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Articles from other publishers (9)

Yana Melnykov, Marcus Perry & Volodymyr Melnykov. 2022. Innovations in Multivariate Statistical Modeling. Innovations in Multivariate Statistical Modeling 45 61 .
Suthakaran Ratnasingam & Wei Ning. (2020) Confidence Distributions for Skew Normal Change-Point Model Based on Modified Information Criterion. Journal of Statistical Theory and Practice 14:3.
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B. Whitcher, S. D. Byers, P. Guttorp & D. B. Percival. (2002) Testing for homogeneity of variance in time series: Long memory, wavelets, and the Nile River. Water Resources Research 38:5.
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. 1994. Time Series Modelling of Water Resources and Environmental Systems. Time Series Modelling of Water Resources and Environmental Systems 173 201 .
Terence C. Mills. (2006) NONLINEAR TIME SERIES MODELS IN ECONOMICS. Journal of Economic Surveys 5:3, pages 215-242.
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P. Hackl & A. H. Westlund. (1989) Statistical analysis of “structural change”: An annotated bibliography. Empirical Economics 14:2, pages 167-192.
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Dag Tjøstheim & Jostein Paulsen. (2008) LEAST SQUARES ESTIMATES AND ORDER DETERMINATION PROCEDURES FOR AUTOREGRESSIVE PROCESSES WITH A TIME DEPENDENT VARIANCE. Journal of Time Series Analysis 6:2, pages 117-133.
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Wolfgang Härdle, Theo Gasser & Petra Bächer. (1984) EEG-responsiveness to eye opening and closing in mildly retarded children compared to a control group. Biological Psychology 18:3, pages 185-199.
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K. Hipel. (1981) Geophysical model discrimination using the Akaike information criterion. IEEE Transactions on Automatic Control 26:2, pages 358-378.
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