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Tests for Variance Shift at an Unknown Time Point
Author(s) -
Hsu D. A.
Publication year - 1977
Publication title -
journal of the royal statistical society: series c (applied statistics)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.205
H-Index - 72
eISSN - 1467-9876
pISSN - 0035-9254
DOI - 10.2307/2346968
Subject(s) - statistics , variance (accounting) , mathematics , point (geometry) , econometrics , economics , geometry , accounting
Summary Two tests for variance shift in a sequence of independent normal random variables, when the initial level of variance is unknown, are investigated in this article. The first is a locally most powerful test, and the second is a test based upon cusums of X 2 values. Distribution functions of the two test statistics are approximated through the use of Edgeworth expansions and/or the beta distribution by matching the first few moments. Critical points of both test statistics are tabulated for various sample sizes. Powers of the two tests are compared using a Monte Carlo example. An illustration of the application of the tests to stock market price analysis is provided.