Journal of the Korean Data and Information Science Society
- 제16권2호
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- Pages.289-300
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- 2005
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- 1598-9402(pISSN)
Quick Variance Change Point Detection for Time Series in Progress
- Park, Yoon-Sung (Department of Statistics, Keimyung University) ;
- Park, Kyoung-Hwa (Department of Statistics, Keimyung University) ;
- Choi, Sung-Hwan (Department of Statistics, Keimyung University) ;
- Kim, Tae-Yoon (Department of Statistics, Keimyung University)
- 발행 : 2005.05.31
초록
In this article quick variance change point (VCP) detection problem for time series is considered. For this variance VCP detector equipped with tuning parameters is proposed. A major tool for the detector is moving variance ratio (MVR) which monitors variance change of a given time series. Tuning process of detector is investigated via simulation, which shows that tuning parameters are critical in achieving sensitivity and adaptiveness of detector.