Journal of the Korean Data and Information Science Society
- 제16권2호
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- Pages.173-183
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- 2005
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- 1598-9402(pISSN)
Quick Detection of Variance Change Point for I.I.D. Data
- Park, Kyoung-Hwa (Department of Statistics, Keimyung University) ;
- Kim, Tae-Yoon (Department of Statistics, Keimyung University) ;
- Song, Gyu-Moon (Department of Statistics, Keimyung University) ;
- Choi, Jung-Jae (Department of Physics, Keimyung University)
- 발행 : 2005.05.31
초록
This paper studies quick detection of variance change point for iid data. For development of sensitive and adaptive variance change point detector, moving variance ratio is employed as a variance ratio estimator. It is shown that selection of tuning parameters of detector, (i.e., information and lag tuning parameters) is critical for detector to achieve desirable sensitivity and adaptiveness. Interestingly our simulation result reveals limitations of the commonly used change ratio against the previous day. Our results will provide useful insight when the detector is applied to time series data.