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Changes of Variance in First‐Order Autoregressive Time Series Models—With an Application

Author

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  • Dean W. Wichern
  • Robert B. Miller
  • Der‐Ann Hsu

Abstract

A two‐stage method is presented for detecting step changes of variance in first‐order autoregressive time series models. Potential change points are initially located using a “moving‐block” procedure. Given initial change points, an iterative likelihood argument is used to develop estimators of the change points, variances and autoregressive parameters. The efficacy of the method is examined with computer simulation experiments, and a numerical example using stock market data is discussed.

Suggested Citation

  • Dean W. Wichern & Robert B. Miller & Der‐Ann Hsu, 1976. "Changes of Variance in First‐Order Autoregressive Time Series Models—With an Application," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 25(3), pages 248-256, November.
    • Handle: RePEc:bla:jorssc:v:25:y:1976:i:3:p:248-256
    DOI: 10.2307/2347232
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    Cited by:

    1. Alessandro De Gregorio & Stefano M. Iacus, 2007. "Change point estimation for the telegraph process observed at discrete times," Papers 0705.0503, arXiv.org.
    2. Charles, Amélie & Darné, Olivier, 2014. "Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 188-199.
    3. Stephen J. Taylor & Brian G. Kingsman, 1979. "An Analysis of the Variance and Distribution of Commodity Price Changes," Australian Journal of Management, Australian School of Business, vol. 4(2), pages 135-149, October.
    4. Li Xiangfei & Han Hongli & Sun Minghan, 2020. "Localized or Regional? Urban Housing Policy Spillover in China’s Urban Agglomerations 2010–2018," Journal of Systems Science and Information, De Gruyter, vol. 8(4), pages 325-345, August.
    5. Roberts, Leigh, 2014. "Consistent estimation of breakpoints in time series, with application to wavelet analysis of Citigroup returns," Working Paper Series 18815, Victoria University of Wellington, School of Economics and Finance.

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