Discriminating mean and variance shifts

Detalhes bibliográficos
Autor(a) principal: Santos, Carlos
Data de Publicação: 2007
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.14/25299
Resumo: A two-stage procedure based on impulse saturation is suggested to distinguish mean and variance shifts. The resulting zero-mean innovation test statistic has a non standard distribution, with a nuisance parameter. Hence, simulation-based critical values are provided for some cases of interest. Monte Carlo evidence reveals the test has good power properties to discriminate mean and variance shifts identified through the impulse saturation break test.
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spelling Discriminating mean and variance shiftsbreaksmean shiftvariance shiftimpulse saturationnuisance parameterA two-stage procedure based on impulse saturation is suggested to distinguish mean and variance shifts. The resulting zero-mean innovation test statistic has a non standard distribution, with a nuisance parameter. Hence, simulation-based critical values are provided for some cases of interest. Monte Carlo evidence reveals the test has good power properties to discriminate mean and variance shifts identified through the impulse saturation break test.Veritati - Repositório Institucional da Universidade Católica PortuguesaSantos, Carlos2018-07-30T11:06:28Z20072007-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.14/25299engSantos, C. (2007). Discriminating mean and variance shifts. Working Papers: Economics. N.º 14, 9 p.info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-12T17:30:40Zoai:repositorio.ucp.pt:10400.14/25299Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:20:09.638410Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Discriminating mean and variance shifts
title Discriminating mean and variance shifts
spellingShingle Discriminating mean and variance shifts
Santos, Carlos
breaks
mean shift
variance shift
impulse saturation
nuisance parameter
title_short Discriminating mean and variance shifts
title_full Discriminating mean and variance shifts
title_fullStr Discriminating mean and variance shifts
title_full_unstemmed Discriminating mean and variance shifts
title_sort Discriminating mean and variance shifts
author Santos, Carlos
author_facet Santos, Carlos
author_role author
dc.contributor.none.fl_str_mv Veritati - Repositório Institucional da Universidade Católica Portuguesa
dc.contributor.author.fl_str_mv Santos, Carlos
dc.subject.por.fl_str_mv breaks
mean shift
variance shift
impulse saturation
nuisance parameter
topic breaks
mean shift
variance shift
impulse saturation
nuisance parameter
description A two-stage procedure based on impulse saturation is suggested to distinguish mean and variance shifts. The resulting zero-mean innovation test statistic has a non standard distribution, with a nuisance parameter. Hence, simulation-based critical values are provided for some cases of interest. Monte Carlo evidence reveals the test has good power properties to discriminate mean and variance shifts identified through the impulse saturation break test.
publishDate 2007
dc.date.none.fl_str_mv 2007
2007-01-01T00:00:00Z
2018-07-30T11:06:28Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.14/25299
url http://hdl.handle.net/10400.14/25299
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Santos, C. (2007). Discriminating mean and variance shifts. Working Papers: Economics. N.º 14, 9 p.
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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