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Showing 1 to 4 of 4 for “"Variance change"”.
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Variance Change Point Detection under A Smoothly-changing Mean Trend with Application to Liver Procurement
Literature on change point analysis mostly requires a sudden change in the data distribution, either in a few parameters or the distribution as a whole. We are interested in the scenario that the variance of data may make a significant jump while the mean of data changes in a smooth fashion. It is …
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Stock returns' variance behavior surrounding stock splits: evidence from trade-by-trade data 1978-1985
… (1) an unexplained, sustained jump in returns' variance occurs at the split, and (2) there appears to be a coincidental decrease in liquidity, not an increase. Daily returns from CRSP and daily and intradaily returns and daily trading volumes and price change information from trade-by-trade data …
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Robustness And Power Comparison Of The Mood-Westenberg And Siegel-Tukey Tests
… (and associated power levels) for detecting variance changes when their assumptions of equal means was slightly violated (i.e., the Behrens-Fisher problem). With the use of Monte Carlo Simulations, the author reviewed 34,606 permutations composed of interactions between various sample sizes, …