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

dc.contributor.author	Dehling, Herold
dc.contributor.author	Rooch, Aeneas
dc.contributor.author	Taqqu, Murad S.
dc.date.accessioned	2013-03-04T09:58:00Z
dc.date.available	2013-03-04T09:58:00Z
dc.date.issued	2013-03-04
dc.description.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.	en
dc.identifier.uri	http://hdl.handle.net/2003/30079
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-10359
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823;6/2013
dc.subject	asymptotic relative efficiency of tests	en
dc.subject	change-point problems	en
dc.subject	functional limit theorem	en
dc.subject	local alternatives	en
dc.subject	long memory	en
dc.subject	long-range dependent data	en
dc.subject	nonparametric change-point tests	en
dc.subject	power of test	en
dc.subject	Wilcoxon two-sample rank test	en
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.title	Power of change-point tests for long-range dependent data	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access

Files

Now showing 1 - 1 of 1

Now showing 1 - 1 of 1