• Journal of the Korean Data and Information Science Society
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• v.20 no.1
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• pp.1-9
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• 2009

Let us consider that the variance function in regression model has a discontinuity/change point at unknown location. Yu and Jones (2004) proposed the local polynomial fit to estimate the log-variance function which break the positivity of the variance. Using the local polynomial fit, Huh (2008) estimate the discontinuity point of the log-variance function. We propose a test for the existence of a discontinuity point in the log-variance function with the estimated jump size in Huh (2008). The proposed method is based on the asymptotic distribution of the estimated jump size. Numerical works demonstrate the performance of the method.