Journal of the Korean Data and Information Science Society
- Volume 16 Issue 2
- /
- Pages.289-300
- /
- 2005
- /
- 1598-9402(pISSN)
Quick Variance Change Point Detection for Time Series in Progress
- Park, Yoon-Sung (Department of Statistics, Keimyung University) ;
- Park, Kyoung-Hwa (Department of Statistics, Keimyung University) ;
- Choi, Sung-Hwan (Department of Statistics, Keimyung University) ;
- Kim, Tae-Yoon (Department of Statistics, Keimyung University)
- Published : 2005.05.31
Abstract
In this article quick variance change point (VCP) detection problem for time series is considered. For this variance VCP detector equipped with tuning parameters is proposed. A major tool for the detector is moving variance ratio (MVR) which monitors variance change of a given time series. Tuning process of detector is investigated via simulation, which shows that tuning parameters are critical in achieving sensitivity and adaptiveness of detector.