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 self-normalization Wilcoxon test long-range dependence |
URI: | http://hdl.handle.net/2003/35318 http://dx.doi.org/10.17877/DE290R-17361 |
Issue Date: | 2016 |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_6716_SFB823_Betken.pdf | DNB | 418.15 kB | Adobe PDF | View/Open |
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