Testing for variance changes in autoregressive models with unknown order

Abstract

The problem of change point in autoregressive process is studied in this article. We propose a Bayesian information criterion-iterated cumulative sums of squares algorithm to detect the variance changes in an autoregressive series with unknown order. Simulation results and two examples are presented, where it is shown to have good performances when the sample size is relatively small.

Keywords:

• cumulative sum of squares
• Bayesian information criterion
• multiple change points
• time series
• variance change

Acknowledgements

We are grateful for helpful comments from the referees which have significantly improved our work.