Off-line testing for a changed segment in the sample variance
Mercredi 23 novembre 2005 - 10h30 -
In the lecture we introduce and investigate a new class of test statistics for the model of changed segment in the sample variance. We derive the asymptotic distribution of the test statistic under the null hypothesis of no change and its consistency under the changed segment alternative. The consistent procedures of estimating the length and the location of a changed segment are proposed. Monte-Carlo simulations support theoretical results.