Changes of Variance in First-Order Autoregressive Time Series Models-With an Application

1 January 1976

journal article
Published by JSTOR in Journal of the Royal Statistical Society Series C: Applied Statistics

Vol. 25 (3) , 248
https://doi.org/10.2307/2347232

Abstract

A two-stage method is presented for detecting step changes of variance in first-order autoregressive time series models. Potential change points are initially l...

Keywords

TIME SERIES
ORDER AUTOREGRESSIVE
AUTOREGRESSIVE TIME
SERIES MODELS
CHANGES OF VARIANCE
APPLICATION

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