An efficient algorithm to estimate the change in variance

Ruibing Qin and Junjie Ma

Economics Letters, 2018, vol. 168, issue C, 15-17

Abstract: This article conducts a more exact analysis of the probability of the absolute bias of the popular CUSUM estimator of the variance change, we conclude that the precision of the CUSUM estimator is effected by the location of the variance change and the variances before and behind the change date. And a more efficient estimation is proposed. Simulations demonstrate that the improvement of the proposed method is nontrivial.

Keywords: Change point; Linear processes; CUSUM estimator (search for similar items in EconPapers)
JEL-codes: C1 C13 C22 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:168:y:2018:i:c:p:15-17

DOI: 10.1016/j.econlet.2018.03.031

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