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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