6533b86efe1ef96bd12cb36d

RESEARCH PRODUCT

Change-points detection for variance piecewise constant models

Giada Adelfio

subject

Statistics and ProbabilityGeneralized linear modelHeteroscedasticityVariance (accounting)Law of total varianceOne-way analysis of varianceModeling and SimulationStatisticsPiecewiseChange-points changes in variation cumulative segmentationVariance-based sensitivity analysisSettore SECS-S/01 - StatisticaMathematicsVariance function

description

A new approach based on the fit of a generalized linear regression model is introduced for detecting change-points in the variance of heteroscedastic Gaussian variables, with piecewise constant variance function. This approach overcome some limitations of both exact and approximate well-known methods that are based on successive application of search and tend to overestimate the real number of changes in the variance of the series. The proposed method just requires the computation of a gamma GLM with log-link, resulting in a very efficient algorithm even with large sample size and many change points to be estimated.

yearjournalcountryeditionlanguage
2011-12-20
10.1080/03610918.2011.592248http://hdl.handle.net/10447/62309