Change-point detection: application of Cusum method to real life data

Abstract

Several procedures have been developed for the detection of abrupt changes in time series. Among these procedures, it can be mentioned the Cumulative Sum (Cusum) type method. It is in such a perspective that Katchekpele et al. (2017) proposed a method using a Cusum type test to detect a change-point in the unconditional variance of the generalised autoregressive conditional heteroskedasticity(GARCH) models. The aim of this paper is to present an application of their technique. After briefly recalling how the test statistic was constructed, the change-point detection algorithm is given and it is shown how it is applied to some real life data.