Estimators and tests for change in variances. (English) Zbl 0864.62030
Summary: We propose some tests for detecting possible change in the variance of independent observations. We obtain their asymptotic properties under the no-change null hypothesis. We also investigate the limit distributions of estimators for the time of change.
MSC:
62G10 | Nonparametric hypothesis testing |
62G20 | Asymptotic properties of nonparametric inference |
62E20 | Asymptotic distribution theory in statistics |
62G05 | Nonparametric estimation |