Power of change-point tests for long-range dependent data

Loading...
Thumbnail Image

Date

2013-03-04

Journal Title

Journal ISSN

Volume Title

Publisher

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.

Description

Table of contents

Keywords

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

Citation