Power of change-point tests for long-range dependent data

DOI10.1214/17-EJS1283zbMath1378.62064OpenAlexW1627004890MaRDI QIDQ2396343

Aeneas Rooch, Murad S. Taqqu, Herold G. Dehling

Publication date: 8 June 2017

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1495159237

zbMATH Keywords

power of testasymptotic relative efficiency of testslong-range dependent datanonparametric change-point testsWilcoxon two-sample rank test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Order statistics; empirical distribution functions (62G30) Functional limit theorems; invariance principles (60F17)

Related Items (8)

On change-points tests based on two-samples \(U\)-statistics for weakly dependent observations ⋮ Rank-based change-point analysis for long-range dependent time series ⋮ Loss function-based change point detection in risk measures ⋮ Multiscale change point detection via gradual bandwidth adjustment in moving sum processes ⋮ A Cramér-von Mises test for a class of mean time dependent CHARN models with application to change-point detection ⋮ A tail adaptive approach for change point detection ⋮ Testing for Change-Points in Long-Range Dependent Time Series by Means of a Self-Normalized Wilcoxon Test ⋮ A Self‐Normalized Semi‐Parametric Test to Detect Changes in the Long Memory Parameter

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