A changepoint warning that notices clustered volatility

changepoint-detector's variance-model warning caught 16-20% of GARCH series; a Ljung-Box line over lags 1-5 of the squares raises that to 34-49%.

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changepoint-detectorstatisticsrobustness

Variance-change detectors assume independent Gaussian noise. Feed one GARCH noise, where calm and wild stretches come in clusters with no real break, and it reports a change about half the time anyway. The changepoint-detector's meanvar model already warned when that was likely, but the warning caught only 16% to 20% of GARCH series.

The reason is small: it checked lag 1 of the squared residuals, and for this kind of noise the autocorrelation sits at lags 2 to 5. Adding a Ljung-Box test over lags 1 to 5 raises the catch rate to 34% (100 points) and 49% (200 points), at the price of 3 to 5 extra points of false warnings on clean Gaussian series. The numbers come from a seeded simulation and are reproducible with node eval/meanvar-robustness.mjs; no real series has been tried yet.

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