Nonparametric 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	2011-08-11T13:18:07Z
dc.date.available	2011-08-11T13:18:07Z
dc.date.issued	2011-08-11
dc.description.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.	en
dc.identifier.uri	http://hdl.handle.net/2003/28974
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-12652
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823;27/2011
dc.subject	Change-point problems	en
dc.subject	functional limit theorem	en
dc.subject	long memory	en
dc.subject	long-range dependent data	en
dc.subject	nonparametric change-point tests	en
dc.subject	Wilcoxon two-sample rank test	en
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.title	Nonparametric change-point tests for long-range dependent data	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access

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