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

ABSTRACT

This paper proposes a weighted sum of powers of variances test for detecting changes in variance of a data sequence. Asymptotic critical value formulas are derived for this test. The modified weighted sum of powers of variances test is also introduced so that the accuracy of change-point detection is highly improved for a sample of small size. Simulation studies and real data analysis are presented to assess the proposed tests.

KEYWORDS:

• Change-point
• change in variance
• weighted sum of powers of variances
• asymptotics
• approximate critical values

Acknowledgments

The authors would like to thank the associate editor and two anonymous referees for their helpful comments and suggestions, which have led to the improvement of this paper.

Disclosure statement

No potential conflict of interest was reported by the authors.

Additional information

Funding

The work was supported by the Natural Sciences and Engineering Research Council of Canada [RGPIN-2017-05720].