Authors: Dehling, Herold
Rooch, Aeneas
Taqqu, Murad S.
Title: Power of change-point tests for long-range dependent data
Language (ISO): en
Abstract: We investigate the power of the CUSUM test and the Wilcoxon change-point tests for a shift in the mean of a process with long-range dependent noise. We derive analytic formulas for the power of these tests under local alternatives. These results enable us to calculate the asymptotic relative efficiency (ARE) of the CUSUM test and the Wilcoxon change point test. We obtain the surprising result that for Gaussian data, the ARE of these two tests equals 1, in contrast to the case of i.i.d. noise when the ARE is known to be 3/Pi.
Subject Headings: asymptotic relative efficiency of tests
change-point problems
functional limit theorem
local alternatives
long memory
long-range dependent data
nonparametric change-point tests
power of test
Wilcoxon two-sample rank test
URI: http://hdl.handle.net/2003/30079
http://dx.doi.org/10.17877/DE290R-10359
Issue Date: 2013-03-04
Appears in Collections:Sonderforschungsbereich (SFB) 823

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