JSM 2005 - Toronto

Abstract #304572

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Activity Number: 324
Type: Contributed
Date/Time: Tuesday, August 9, 2005 : 2:00 PM to 3:50 PM
Sponsor: Business and Economics Statistics Section
Abstract - #304572
Title: Detecting a Shift in Location in a Random Sequence: A Review and Applications
Author(s): Prem Talwar*+
Companies: University of Alberta
Address: School of Business, Edmonton, AB, T6G 2R6, Canada
Keywords: robustness ; financial data ; shifts in location ; random sequence ; autocorrelation ; ARCH
Abstract:

Talwar (1983) studies the performance of several procedures for testing a sequence of observations for shift in location when the distribution of the population being sampled is nonnormal and "heavy tailed." Since Engle (1982) and Bollerslev (1987), ARCH models have been used extensively to represent randomness in economic and financial data series. In this paper, we review location shift testing procedures and study their performance by means of a simulation experiment when ARCH or autocorrelation is present in the data. Applications to recent financial data (the period coinciding with the Tech Bubble, 2000) also are discussed.

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Revised March 2005