Tests for the Variance Changes in Presence of Breaks in Mean

Dan ZHANG, Hao JIN

Abstract


In this paper we consider the detection problem of variance change in presence of breaks in mean. The limiting distribution is derived under the null and the alternative
hypothesis and the consistence of the tests is also established. We find that the size and power of the cumulative sum of squares (CUSSQ) tests suffers severe distortions due to neglected of shifts in mean. The numerical simulation results
are consistent with our theoretical analysis.


Keywords


Variance change; Break in mean; CUSSQ tests; Asymptotic distribution

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DOI: http://dx.doi.org/10.3968/8507

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