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Change-points detection for variance piecewise constant models
Taylor & Francis
A new approach based on the fit of a generalized linear regression
model is introduced for detecting change-points in the variance of
heteroscedastic Gaussian variables, with piecewise constant
variance function. This approach overcome some limitations of
both exact and approximate well known methods that are based on
successive application of search and tend to overestimate the real
number of changes in the variance of the series. The proposed
method just requires the computation of a gamma GLM with log-link,
resulting in a very efficient algorithm even with large sample
size and many change points to be estimated.
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