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Abstract Details
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Activity Number:
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180
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Type:
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Contributed
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Date/Time:
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Monday, August 1, 2011 : 10:30 AM to 12:20 PM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #300920 |
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Title:
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Revisiting Levene's Statistic for Change Point Detection in Variance and Its Application to Dow-Jones Average Index
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Author(s):
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Kyungduk Ko*+
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Companies:
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Boise State University
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Address:
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1910 University Dr., Boise, ID, 83725-1555,
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Keywords:
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Dow-Jones Average ;
Levene statistic ;
Power of test ;
Null hypothesis distribution ;
Variance change point
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Abstract:
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We propose a method to estimate an unknown variance change point in a sequence of observations. Levene's statistic, which is used for testing equality of population variances, is adopted for measuring a potential discrepancy between the variances of two subsequences before and after each observation. The maximum of those Levene's statistic values is then used as a test statistic for testing the null hypothesis of no change point. The null hypothesis percentiles of the proposed test statistic are obtained via Monte Carlo simulation, and using the critical points, empirical test sizes and powers are presented as well. Applications of the proposed method to the weekly closing values of the Dow-Jones Industrial averages are given.
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