Testing for variance changes in autoregressive models with unknown order

Baisuo Jin, Mong-Na Lo Huang and Baiqi Miao

Journal of Applied Statistics, 2011, vol. 38, issue 5, 927-936

Abstract: The problem of change point in autoregressive process is studied in this article. We propose a Bayesian information criterion-iterated cumulative sums of squares algorithm to detect the variance changes in an autoregressive series with unknown order. Simulation results and two examples are presented, where it is shown to have good performances when the sample size is relatively small.

Date: 2011
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DOI: 10.1080/02664761003692399

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