Betken, Annika2016-11-082016-11-082016http://hdl.handle.net/2003/3531810.17877/DE290R-17361We 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.enDiscussion Paper / SFB823;67, 2016change point estimationself-normalizationWilcoxon testlong-range dependence310330620working paper