55
Views
11
CrossRef citations to date
0
Altmetric
Original Articles

Detection of Multiple Changes of Variance Using Posterior Odds

Pages 289-300 | Published online: 02 Jul 2012

REFERENCES

  • Abraham , B. and Wei , W. W. S. 1984 . “Inferences About the Parameters of a Time Series Model With Changing Variance,” . Metrika , 31 : 183 – 194 .
  • Ali , M. M. and Giaccotto , C. 1982 . “The Identical Distribution Hypothesis for Stock Market Prices—Location and Scale Shift Alternatives,” . Journal of the American Statistical Association , 11 : 19 – 28 .
  • Baufays , P. and Rasson , J. P. 1985 . “Variance Changes in Autoregressive Models,” . In Time Series Analysis: Theory and Practice 7 , Edited by: Anderson , O. D. 119 – 127 . New York : North-Holland .
  • Box , G. E. P. and Jenkins , G. M. 1976 . Time Series Analysis, Forecasting and Control , San Francisco : Holden-Day .
  • Booth , N. B. and Smith , A. F. M. 1982 . “A Bayesian Approach to Retrospective Identification of Change-Points,” . Journal of Econometrics , 19 : 7 – 22 .
  • Carlin , B. P. , Gelfand , A. E. and Smith , A. F. M. 1992 . “Hierarchical Bayesian Analysis of Change Point Problems,” . Applied Statistics , 41 : 389 – 405 .
  • Cobb , G. W. 1978 . “The Problem of the Nile: Conditional Solution to a Change Point Problem,” . Biometrika , 65 : 243 – 251 .
  • Commenges , D. , Seal , J. and Pinatel , F. 1986 . “Inference About a Change Point in Experimental Neurophysiology,” . Mathematical Biosciences , 80 : 81 – 108 .
  • Davis , W. W. 1979 . “Robust Methods for Detection of Shifts of the Innovation Variance of a Time Series,” . Technometrics , 21 : 313 – 320 .
  • Fu , Y. X. and Curnow , R. N. 1990a . “Locating a Changed Segment in a Sequence of Bernoulli Variables,” . Biometrika , 11 : 295 – 304 .
  • Fu , Y. X. and Curnow , R. N. 1990b . “Maximum Likelihood Estimation of Multiple Change Points,” . Biometrika , 11 : 563 – 573 .
  • Haccou , P. and Meelis , E. 1988 . “Testing for the Number of Change Points in a Sequence of Exponential Random Variables,” . Journal of Statistical Computing Simulation , 30 : 285 – 298 .
  • Haccou , P. , Meelis , E. and van de Geer , S. 1988 . “The Likelihood Ratio Test of the Change Point Problem for Exponentially Distributed Random Variables,” . Stochastic Processes and Their Applications , 27 : 121 – 139 .
  • Hsieh , D. A. 1988 . “Statistical Properties of Daily Exchange Rates: 1974–1983,” . Journal of International Economics , 24 : 129 – 145 .
  • Hsieh , D. A. 1989 . “Modeling Heteroscedasticity in Daily Foreign Exchange Rates,” . Journal of Business & Economic Statistics , 1 : 307 – 317 .
  • Hsu , D. A. 1977 . “Tests for Variance Shift at an Unknown Time Point,” . Applied Statistics , 26 : 279 – 284 .
  • Hsu , D. A. 1979 . “Detecting Shifts of Parameter in Gamma Sequences With Applications to Stock Price and Air Traffic Flow Analysis,” . Journal of the American Statistical Association , 74 : 31 – 40 .
  • Hsu , D. A. 1982 . “A Bayesian Robust Detection of Shift in the Risk Structure of Stock Market Returns,” . Journal of the American Statistical Association , 11 : 39 – 29 .
  • Hsu , D. A. , Miller , R. B. and Wichern , D. W. 1974 . “On the Stable Paretian Behavior of Stock-Market Prices,” . Journal of the American Statistical Association , 69 : 108 – 113 .
  • Inclaán , C. 1991 . “Retrospective Detection of Sudden Changes of Variance in Time Series,” , University of Chicago, Dept. of Statistics . unpublished PhD thesis
  • Menzefricke , U. 1981 . “A Bayesian Analysis of a Change in the Precision of a Sequence of Independent Normal Random Variables at an Unknown Time Point,” . Applied Statistics , 30 : 141 – 146 .
  • Raiffa , H. and Schlaiffer , R. 1961 . Applied Statistical Decision Theory , Cambridge , MA : Harvard University, Graduate School of Business Administration .
  • Stacy , E. W. and Mihram , G. A. 1965 . “Parameter Estimation for a Generalized Gamma Distribution,” . Technometrics , 1 : 349 – 358 .
  • Tsay , R. 1988 . “Outliers, Level Shifts, and Variance Changes in Time Series,” . Journal of Forecasting , 1 : 1 – 20 .
  • Wichern , D. W. , Miller , R. B. and Hsu , D. A. 1976 . “Changes of Variance in First Order Autoregressive Time Series Models—With an Application,” . Applied Statistics , 25 : 248 – 356 .
  • Worsley , K. J. 1986 . “Confidence Regions and Tests for a Change Point in a Sequence of Exponential Family Random Variables,” . Biometrika , 73 : 91 – 104 .
  • Yin , Y. Q. 1988 . “Detection of the Number, Locations and Magnitudes of Jumps,” . Communications in Statistics, Stochastic Models , 4 : 445 – 455 .
  • Zellner , A. 1971 . An Introduction to Bayesian Inference in Econometrics , New York : John Wiley .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.