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dc.contributor.authorDehling, Herold-
dc.contributor.authorRooch, Aeneas-
dc.contributor.authorTaqqu, Murad S.-
dc.date.accessioned2013-03-04T09:58:00Z-
dc.date.available2013-03-04T09:58:00Z-
dc.date.issued2013-03-04-
dc.identifier.urihttp://hdl.handle.net/2003/30079-
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-10359-
dc.description.abstractWe 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.en
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB 823;6/2013-
dc.subjectasymptotic relative efficiency of testsen
dc.subjectchange-point problemsen
dc.subjectfunctional limit theoremen
dc.subjectlocal alternativesen
dc.subjectlong memoryen
dc.subjectlong-range dependent dataen
dc.subjectnonparametric change-point testsen
dc.subjectpower of testen
dc.subjectWilcoxon two-sample rank testen
dc.subject.ddc310-
dc.subject.ddc330-
dc.subject.ddc620-
dc.titlePower of change-point tests for long-range dependent dataen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access-
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