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http://dx.doi.org/10.5351/KJAS.2006.19.2.369

A Study on Variance Change Point Detection for Time Series Data in Progress  

Choi Hyun-Seok (Department of Statistics, Keimyung University)
Kang Hoon-Kyu (Department of Statistics, Keimyung University)
Song Gyu-Moon (Department of Statistics, Keimyung University)
Kim Tae-Yoon (Department of Statistics, Keimyung University)
Publication Information
The Korean Journal of Applied Statistics / v.19, no.2, 2006 , pp. 369-377 More about this Journal
Abstract
This paper considers moving variance ratio (MVR) for valiance detection problem with time series data in progress. For testing purpose, parametric method based on F distribution and nonparametric method based on empirical distribution are compared via simulation study.
Keywords
Variance change detection; Moving variance ratio; Empirical distribution;
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