Change point estimation based on the Wilcoxon test in the presence of long-range dependence
| dc.contributor.author | Betken, Annika | |
| dc.date.accessioned | 2016-11-08T09:38:12Z | |
| dc.date.available | 2016-11-08T09:38:12Z | |
| dc.date.issued | 2016 | |
| dc.description.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. | en |
| dc.identifier.uri | http://hdl.handle.net/2003/35318 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-17361 | |
| dc.language.iso | en | de |
| dc.relation.ispartofseries | Discussion Paper / SFB823;67, 2016 | en |
| dc.subject | change point estimation | en |
| dc.subject | self-normalization | en |
| dc.subject | Wilcoxon test | en |
| dc.subject | long-range dependence | en |
| dc.subject.ddc | 310 | |
| dc.subject.ddc | 330 | |
| dc.subject.ddc | 620 | |
| dc.title | Change point estimation based on the Wilcoxon test in the presence of long-range dependence | en |
| dc.type | Text | de |
| dc.type.publicationtype | workingPaper | de |
| dcterms.accessRights | open access |