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Journal of Applied Statistics Volume 46, 2019 - Issue 4
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Articles

Detection of a change-point in variance by a weighted sum of powers of variances test

M. XuGlobal Risk Management, Scotiabank, Toronto, CanadaView further author information
,
Y. WuDepartment of Mathematics and Statistics, York University, Toronto, CanadaCorrespondence[email protected]
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B. JinDepartment of Statistics and Finance, University of Science and Technology of China, Hefei, People's Republic of ChinaView further author information
Pages 664-679 | Received 26 Jun 2017, Accepted 04 Aug 2018, Published online: 17 Aug 2018

Citations (9)

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Read on this site (2)

Saisai Ding, Hongyan Fang, Xiang Dong & Wenzhi Yang. (2022) The CUSUM statistics of change-point models based on dependent sequences. Journal of Applied Statistics 49:10, pages 2593-2611.
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Yi Wu, Wei Wang, Shipeng Wu & Xuejun Wang. The weighted sum of powers in mean for estimating a change point in linear processes with random coefficients. Journal of Applied Statistics 0:0, pages 1-25.
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Articles from other publishers (7)

Yi Wu, Wei Wang & Xuejun Wang. (2024) Convergence of the CUSUM estimation for a mean shift in linear processes with random coefficients. Computational Statistics.
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Min Gao, Xiaoping Shi, Xuejun Wang & Wenzhi Yang. (2023) Combination Test for Mean Shift and Variance Change. Symmetry 15:11, pages 1975.
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Tianming Xu & Yuesong Wei. (2023) Ratio Test for Mean Changes in Time Series with Heavy-Tailed AR(p) Noise Based on Multiple Sampling Methods. Mathematics 11:18, pages 3988.
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Tianming Xu & Yuesong Wei. (2023) A Least Squares Estimator for Gradual Change-Point in Time Series with m-Asymptotically Almost Negatively Associated Errors. Axioms 12:9, pages 894.
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Wei Wang, Yi Wu, Wenqin Wang, Kai Zhou, Kan Chen & Xinran Tao. (2022) Hajek–Renyi-type inequality for $(\alpha , \beta )$-mixing sequences and its application to change-point model. Journal of Inequalities and Applications 2022:1.
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Saisai Ding, Xiaoqin Li, Xiang Dong & Wenzhi Yang. (2020) The Consistency of the CUSUM-Type Estimator of the Change-Point and Its Application. Mathematics 8:12, pages 2113.
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Qing Yang, Yu-Ning Li & Yi Zhang. (2020) Change point detection for nonparametric regression under strongly mixing process. Statistical Papers 61:4, pages 1465-1506.
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