Nonparametric change-point tests for long-range dependent data
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Date
2011-08-11
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Abstract
We propose a nonparametric change-point test for long-range dependent data,
which is based on the Wilcoxon two-sample test. We derive the asymptotic distribution of
the test statistic under the null-hypothesis that no change occured. In a simulation study,
we compare the power of our test with the power of a test which is based on differences of
means. The results of the simulation study show that in the case of Gaussian data, our test
has only slightly smaller power than the difference-of-means test. For heavy-tailed data, our
test outperforms the difference-of-means test.
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Keywords
Change-point problems, functional limit theorem, long memory, long-range dependent data, nonparametric change-point tests, Wilcoxon two-sample rank test