Hypothesis test for changes in variance using a statistic based in P-values in a time series of normal independent observations.
The present work proposes a Hypothesis Test to detect a shift in the variance of a series of independent normal observations using a statistic based on the p-values of the F distribution. Since the probability distribution function of this statistic is intractable, critical values were we estimated...
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| Formato: | Tesis |
| Lenguaje: | inglés |
| Publicado: |
2015
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| Acceso en línea: | http://eprints.uanl.mx/9386/1/1080214884.pdf |
| _version_ | 1824370952001028096 |
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| author | Armendáriz Hernández, Samuel Uriel |
| author_facet | Armendáriz Hernández, Samuel Uriel |
| author_sort | Armendáriz Hernández, Samuel Uriel |
| collection | Repositorio Institucional |
| description | The present work proposes a Hypothesis Test to detect a shift in the variance of a series of independent normal observations using a statistic based on the p-values of the F distribution. Since the probability distribution function of this statistic is intractable, critical values were we estimated numerically through extensive simulation. A regression approach was used to simplify the quantile evaluation and extrapolation.
The power of the test was simulated using Monte Carlo simulation, and the results were compared with the Chen test (1997) to prove its efficiency. Time series analysts might find the test useful to address homoscedasticity studies were at most one change might be involved. |
| format | Tesis |
| id | eprints-9386 |
| institution | UANL |
| language | English |
| publishDate | 2015 |
| record_format | eprints |
| spelling | eprints-93862019-11-26T22:41:53Z http://eprints.uanl.mx/9386/ Hypothesis test for changes in variance using a statistic based in P-values in a time series of normal independent observations. Armendáriz Hernández, Samuel Uriel QA Matemáticas, Ciencias computacionales The present work proposes a Hypothesis Test to detect a shift in the variance of a series of independent normal observations using a statistic based on the p-values of the F distribution. Since the probability distribution function of this statistic is intractable, critical values were we estimated numerically through extensive simulation. A regression approach was used to simplify the quantile evaluation and extrapolation. The power of the test was simulated using Monte Carlo simulation, and the results were compared with the Chen test (1997) to prove its efficiency. Time series analysts might find the test useful to address homoscedasticity studies were at most one change might be involved. 2015-06 Tesis NonPeerReviewed text en cc_by_nc_nd http://eprints.uanl.mx/9386/1/1080214884.pdf http://eprints.uanl.mx/9386/1.haspreviewThumbnailVersion/1080214884.pdf Armendáriz Hernández, Samuel Uriel (2015) Hypothesis test for changes in variance using a statistic based in P-values in a time series of normal independent observations. Maestría thesis, Universidad Autónoma de Nuevo León. |
| spellingShingle | QA Matemáticas, Ciencias computacionales Armendáriz Hernández, Samuel Uriel Hypothesis test for changes in variance using a statistic based in P-values in a time series of normal independent observations. |
| thumbnail | https://rediab.uanl.mx/themes/sandal5/images/online.png |
| title | Hypothesis test for changes in variance using a statistic based in P-values in a time series of normal independent observations. |
| title_full | Hypothesis test for changes in variance using a statistic based in P-values in a time series of normal independent observations. |
| title_fullStr | Hypothesis test for changes in variance using a statistic based in P-values in a time series of normal independent observations. |
| title_full_unstemmed | Hypothesis test for changes in variance using a statistic based in P-values in a time series of normal independent observations. |
| title_short | Hypothesis test for changes in variance using a statistic based in P-values in a time series of normal independent observations. |
| title_sort | hypothesis test for changes in variance using a statistic based in p values in a time series of normal independent observations |
| topic | QA Matemáticas, Ciencias computacionales |
| url | http://eprints.uanl.mx/9386/1/1080214884.pdf |
| work_keys_str_mv | AT armendarizhernandezsamueluriel hypothesistestforchangesinvarianceusingastatisticbasedinpvaluesinatimeseriesofnormalindependentobservations |