Tests for Variance Shift at an Unknown Time Point

D. A. Hsu

Journal of the Royal Statistical Society Series C, 1977, vol. 26, issue 3, 279-284

Abstract: Two tests for variance shift in a sequence of independent normal random variables, when the initial level of variance is unknown, are investigated in this article. The first is a locally most powerful test, and the second is a test based upon cusums of X2 values. Distribution functions of the two test statistics are approximated through the use of Edgeworth expansions and/or the beta distribution by matching the first few moments. Critical points of both test statistics are tabulated for various sample sizes. Powers of the two tests are compared using a Monte Carlo example. An illustration of the application of the tests to stock market price analysis is provided.

Date: 1977
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