An efficient algorithm to estimate the change in variance

作者：Qin Ruibing^*; Ma Junjie

来源：Economics Letters, 2018, 168: 15-17.

DOI：10.1016/j.econlet.2018.03.031

• Change point
• Linear processes
• CUSUM estimator

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.

• 出版日期2018-7
• 单位山西大学