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dc.contributor.authorBetken, Annika-
dc.date.accessioned2016-11-08T09:38:12Z-
dc.date.available2016-11-08T09:38:12Z-
dc.date.issued2016-
dc.identifier.urihttp://hdl.handle.net/2003/35318-
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-17361-
dc.description.abstractWe 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.en
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB823;67, 2016en
dc.subjectchange point estimationen
dc.subjectself-normalizationen
dc.subjectWilcoxon testen
dc.subjectlong-range dependenceen
dc.subject.ddc310-
dc.subject.ddc330-
dc.subject.ddc620-
dc.titleChange point estimation based on the Wilcoxon test in the presence of long-range dependenceen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access-
Appears in Collections:Sonderforschungsbereich (SFB) 823

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