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.
Adelfio, G. (2012). Change-points detection for variance piecewise constant models. COMMUNICATIONS IN STATISTICS. SIMULATION AND COMPUTATION, 41(4), 437-448.
|Data di pubblicazione:||2012|
|Titolo:||Change-points detection for variance piecewise constant models|
|Citazione:||Adelfio, G. (2012). Change-points detection for variance piecewise constant models. COMMUNICATIONS IN STATISTICS. SIMULATION AND COMPUTATION, 41(4), 437-448.|
|Digital Object Identifier (DOI):||http://dx.doi.org/10.1080/03610918.2011.592248|
|Settore Scientifico Disciplinare:||Settore SECS-S/01 - Statistica|
|Appare nelle tipologie:||1.01 Articolo in rivista|