Journal of the Korean Data and Information Science Society
- Volume 17 Issue 4
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- Pages.1091-1098
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- 2006
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- 1598-9402(pISSN)
A Study on Quick Detection of Variance Change Point of Time Series under Harsh Conditions
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Choi, Hyun-Seok
(Department of Statistics, Keimyung University)
;
- Choi, Sung-Hwan (Department of Statistics, Keimyung University) ;
- Kim, Tae-Yoon (Department of Statistics, Keimyung University)
- Published : 2006.11.30
Abstract
Park et al.(2005) and Choi et al.(2006) studied quick detection of variance change point for time series data in progress. For efficient detection they used moving variance ratio equipped with two tuning parameters; information tuning parameter p and lag tuning parameter q. In this paper, the moving variance ratio is studied under harsh conditions.