Authors: Dehling, Herold
Rooch, Aeneas
Taqqu, Murad S.
Title: Nonparametric change-point tests for long-range dependent data
Language (ISO): en
Abstract: We propose a nonparametric change-point test for long-range dependent data, which is based on the Wilcoxon two-sample test. We derive the asymptotic distribution of the test statistic under the null-hypothesis that no change occured. In a simulation study, we compare the power of our test with the power of a test which is based on differences of means. The results of the simulation study show that in the case of Gaussian data, our test has only slightly smaller power than the difference-of-means test. For heavy-tailed data, our test outperforms the difference-of-means test.
Subject Headings: Change-point problems
functional limit theorem
long memory
long-range dependent data
nonparametric change-point tests
Wilcoxon two-sample rank test
Issue Date: 2011-08-11
Appears in Collections:Sonderforschungsbereich (SFB) 823

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