Authors: Betken, Annika
Title: Change point estimation based on the Wilcoxon test in the presence of long-range dependence
Language (ISO): en
Abstract: We consider an estimator, based on the two-sample Wilcoxon statistic, for the location of a shift in the mean of long-range dependent sequences. Consistency and the rate of convergence for the estimated change point are established. In particular, the 1/n convergence rate (with n denoting the number of observations), which is typical under the assumption of independent observations, is also achieved for long memory sequences in case of a constant shift height. It is proved that after a suitable normalization the estimator converges in distribution to a functional of a fractional Brownian motion, if the change point height decreases to 0 with a certain rate. The estimator is tested on two well-known data sets. Finite sample behaviors are investigated in a Monte Carlo simulation study.
Subject Headings: change point estimation
Wilcoxon test
long-range dependence
Issue Date: 2016
Appears in Collections:Sonderforschungsbereich (SFB) 823

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