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Variance changes detection in multivariate time series

Daniel Peña () and Pedro Galeano

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: This paper studies the detection of step changes in the variances and in the correlation structure of the components of a vector of time series. Two procedures are considered. The first is based on the likelihood ratio test and the second on cusum statistics. These two procedures are compared in a simulation study and we conclude that the cusum procedure is more powerful. The procedures are illustrated in two examples.R

New Economics Papers: this item is included in nep-ecm, nep-ets and nep-rmg
Date: 2004-02
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