Abstract: Some limit properties of the weighted cumulative sum(WCS) estimator for the change-point in variance was studied. The consistency and convergence rate of the estimator were proved. In addition, the asymptotic distribution of the change-point estimator under local alternative hypothesis, which was a two-side Brownian motion with a drift, was developed. By the numerical solution of asymmetric distribution, an asymptotic confidence interval was constructed. Simulation results and a real data example show that the proposed estimator has a good performance in the application.

Key words: change-point in variance, consistency, convergence rate, asymptotic distribution