Detecting shift in mean and variance for both uncorrelated and correlated series using several popular tests
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Miami University / OhioLINK
2014
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| Online Access: | http://rave.ohiolink.edu/etdc/view?acc_num=miami1417195911 |
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ndltd-OhioLink-oai-etd.ohiolink.edu-miami14171959112021-08-03T06:28:08Z Detecting shift in mean and variance for both uncorrelated and correlated series using several popular tests WANG, BO Economics CUSUM changepoints ARMA series shift in mean shift in variance Recently there has been a keen interest in the statistical analysis of change point detection. This is because change point problems can be encountered in many fields such as economics, finance, medicine and so on. In this project, we firstly provide a comprehensive review of several popular tests in detecting mean and variance shift. To investigate the performance of those tests, Type I error and power are examined followed by two empirical investigations. Our results show that for mean shift detection, both K&L test and ARMA residual test work well for normal distributed process; for ARMA process, the ARMA residual test is the best; for variance shift detection, change in mean has huge influence on Type I error estimation and I&T test is more powerful than K&L test for GARCH process. 2014-12-01 English text Miami University / OhioLINK http://rave.ohiolink.edu/etdc/view?acc_num=miami1417195911 http://rave.ohiolink.edu/etdc/view?acc_num=miami1417195911 unrestricted This thesis or dissertation is protected by copyright: all rights reserved. It may not be copied or redistributed beyond the terms of applicable copyright laws. |
| collection |
NDLTD |
| language |
English |
| sources |
NDLTD |
| topic |
Economics CUSUM changepoints ARMA series shift in mean shift in variance |
| spellingShingle |
Economics CUSUM changepoints ARMA series shift in mean shift in variance WANG, BO Detecting shift in mean and variance for both uncorrelated and correlated series using several popular tests |
| author |
WANG, BO |
| author_facet |
WANG, BO |
| author_sort |
WANG, BO |
| title |
Detecting shift in mean and variance for both uncorrelated and correlated series using several popular tests |
| title_short |
Detecting shift in mean and variance for both uncorrelated and correlated series using several popular tests |
| title_full |
Detecting shift in mean and variance for both uncorrelated and correlated series using several popular tests |
| title_fullStr |
Detecting shift in mean and variance for both uncorrelated and correlated series using several popular tests |
| title_full_unstemmed |
Detecting shift in mean and variance for both uncorrelated and correlated series using several popular tests |
| title_sort |
detecting shift in mean and variance for both uncorrelated and correlated series using several popular tests |
| publisher |
Miami University / OhioLINK |
| publishDate |
2014 |
| url |
http://rave.ohiolink.edu/etdc/view?acc_num=miami1417195911 |
| work_keys_str_mv |
AT wangbo detectingshiftinmeanandvarianceforbothuncorrelatedandcorrelatedseriesusingseveralpopulartests |
| _version_ |
1719437175732305920 |