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 [10.1080/03610918.2011.592248].

Change-points detection for variance piecewise constant models

ADELFIO, Giada
2012-01-01

Abstract

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.
Settore SECS-S/01 - Statistica
Adelfio, G. (2012). Change-points detection for variance piecewise constant models. COMMUNICATIONS IN STATISTICS. SIMULATION AND COMPUTATION, 41(4), 437-448 [10.1080/03610918.2011.592248].
File in questo prodotto:
File Dimensione Formato  
Adelfio_commstat_2012.pdf

Solo gestori archvio

Dimensione 260.53 kB
Formato Adobe PDF
260.53 kB Adobe PDF   Visualizza/Apri   Richiedi una copia

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10447/62309
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 8
  • ???jsp.display-item.citation.isi??? 8
social impact