The DOI matches its Crossref record; 21 of the 21 references it cites were found in a registry or an index.
Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
Abstract
This article studies the problem of multiple change points in the variance of a sequence of independent observations. We propose a procedure to detect variance changes based on an iterated cumulative sums of squares (ICSS) algorithm. We study the properties of the centered cumulative sum of squares function and give an intuitive basis for the ICSS algorithm. For series of moderate size (i.e., 200 observations and beyond), the ICSS algorithm offers results comparable to those obtained by a Bayesian approach or by likelihood ratio tests, without the heavy computational burden required by these approaches. Simulation results comparing the ICSS algorithm to other approaches are presented.
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Cites
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Cited by
Volatility in Emerging Stock Markets
Aggarwal, R., Inclan, C., & Leal, R. (1999) · The Journal of Financial and Quantitative Analysis · doi:10.2307/2676245 · Cited by 734
Tan, X., Sirichand, K., Vivian, A., & Wang, X. (2020) · Energy Economics · doi:10.1016/j.eneco.2020.104870 · Cited by 292
Gunay, S., & Can, G. (2022) · PLOS ONE · doi:10.1371/journal.pone.0261835 · Cited by 92
Land cover change detection: a case study
Boriah, S., Kumar, V., Steinbach, M., Potter, C., & Klooster, S. (2008) · Proceedings of the 14th ACM SIGKDD international conference on Knowledge discovery and data mining · doi:10.1145/1401890.1401993 · Cited by 43
Hasanov, A. S., Burkhanov, A. U., Usmonov, B., Khajimuratov, N. S., & Khurramova, M. M. Q. (2024) · Energy · doi:10.1016/j.energy.2024.130535 · Cited by 43
Metadata
- Authors
- Inclán, C., & Tiao, G. C.
- Venue
- Journal of the American Statistical Association
- Publisher
- Informa UK Limited
- Published
- 1994-09
- Volume
- 89
- Issue
- 427
- Pages
- 913-923
- ISSN
- 0162-1459 (ISSN-L)
- 1537-274X
- OpenAlex
- W2075304461
- Cited by
- 1,156
- References
- 21
- FWCI
- 3.46
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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