Abstract
In contrast to the analysis of abrupt changes, methods for detecting gradual change points are less developed. In this paper, we are interested in the scenario that the variance of data may vary gradually while the mean of data changes in a smooth fashion. We propose a penalized weighted least squares approach with an iterative estimation procedure to detect the gradual variance change point with a smoothly changing mean function. The null distribution of the test statistic is derived in association with the consistency of estimates. The performance of our method is illustrated by means of a simulation study and a real data example.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
