Power of Weighted Test Statistics for Structural Change in Time Series

DOI10.1214/24-EJS2248MaRDI QIDQ6426782zbMATH OpenFDO

Authors Herold Dehling, Kata Vuk, Marin Wendler

Publication date 17 February 2023

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1214/24-EJS2248

Mathematics Subject Classification ID

Statistics (62-XX)

Abstract: We investigate the power of some common change-point tests as a function of the location of the change-point. The test statistics are maxima of weighted U-statistics, with the CUSUM test and the Wilcoxon change-point test as special examples. We study the power under local alternatives, where we vary both the location of the change-point and the magnitude of the change. We quantify in which way weighted versions of the tests are more powerful when the change occurs near the beginning or the end of the time interval, while losing power against changes in the center.

Cited in

(1)

• On testing for \textit{weak change} in the conditional mean of a class of nonlinear heteroscedastic models

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