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Tests for the Variance Changes in Presence of Breaks in Mean
International Business and Management
View Archive Info| Field | Value | |
| Title |
Tests for the Variance Changes in Presence of Breaks in Mean
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| Creator |
ZHANG, Dan
JIN, Hao |
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| Subject |
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Variance change; Break in mean; CUSSQ tests; Asymptotic distribution — |
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| Description |
In this paper we consider the detection problem of variance change in presence of breaks in mean. The limiting distribution is derived under the null and the alternativehypothesis and the consistence of the tests is also established. We find that the size and power of the cumulative sum of squares (CUSSQ) tests suffers severe distortions due to neglected of shifts in mean. The numerical simulation resultsare consistent with our theoretical analysis.
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| Publisher |
Canadian Research & Development Center of Sciences and Cultures
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| Contributor |
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| Date |
2016-06-28
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article — |
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| Format |
application/pdf
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| Identifier |
http://www.cscanada.net/index.php/ibm/article/view/8507
10.3968/8507 |
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| Source |
International Business and Management; Vol 12, No 3 (2016): International Business and Management; 41-48
1923-8428 1923-841X |
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| Language |
eng
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| Relation |
http://www.cscanada.net/index.php/ibm/article/view/8507/pdf_1
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| Coverage |
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| Rights |
Copyright (c) 2016 International Business and Management
http://creativecommons.org/licenses/by/4.0 |
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