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.
Data di pubblicazione: | 2012 |
Settore Scientifico Disciplinare: | Settore SECS-S/01 - Statistica |
Titolo: | Change-points detection for variance piecewise constant models |
Autori: | Adelfio, G |
Autori: | |
Tipologia: | Articolo su rivista |
Citazione: | Adelfio, G. (2012). Change-points detection for variance piecewise constant models. COMMUNICATIONS IN STATISTICS. SIMULATION AND COMPUTATION, 41(4), 437-448. |
Tipo: | Articolo in rivista |
Digital Object Identifier (DOI): | 10.1080/03610918.2011.592248 |
Appare nelle tipologie: | 01 - Articolo su rivista |
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