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Detection and estimation of abrupt changes in the variability of a process

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  • Jandhyala, Venkata K.
  • Fotopoulos, Stergios B.
  • Hawkins, Douglas M.

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  • Jandhyala, Venkata K. & Fotopoulos, Stergios B. & Hawkins, Douglas M., 2002. "Detection and estimation of abrupt changes in the variability of a process," Computational Statistics & Data Analysis, Elsevier, vol. 40(1), pages 1-19, July.
    • Handle: RePEc:eee:csdana:v:40:y:2002:i:1:p:1-19
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    References listed on IDEAS

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    1. Gombay, Edit & Horváth, Lajos, 1994. "An application of the maximum likelihood test to the change-point problem," Stochastic Processes and their Applications, Elsevier, vol. 50(1), pages 161-171, March.
    2. D. A. Hsu, 1977. "Tests for Variance Shift at an Unknown Time Point," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 26(3), pages 279-284, November.
    3. Bhattacharya, P.K., 1987. "Maximum likelihood estimation of a change-point in the distribution of independent random variables: General multiparameter case," Journal of Multivariate Analysis, Elsevier, vol. 23(2), pages 183-208, December.
    4. Jandhyala, Venkata K. & Fotopoulos, Stergios B. & Evaggelopoulos, Nicholas E., 2000. "A comparison of unconditional and conditional solutions to the maximum likelihood estimation of a change-point," Computational Statistics & Data Analysis, Elsevier, vol. 34(3), pages 315-334, September.
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    Cited by:

    1. Max Wornowizki & Roland Fried & Simos G. Meintanis, 2017. "Fourier methods for analyzing piecewise constant volatilities," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 101(3), pages 289-308, July.
    2. Huwang, Longcheen & Huang, Chun-Jung & Wang, Yi-Hua Tina, 2010. "New EWMA control charts for monitoring process dispersion," Computational Statistics & Data Analysis, Elsevier, vol. 54(10), pages 2328-2342, October.

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