Non-parametric change-point tests for long-range dependent data
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Publication:4911971
DOI10.1111/J.1467-9469.2012.00799.XzbMATH Open1259.62028arXiv1303.4917OpenAlexW1711937294MaRDI QIDQ4911971FDOQ4911971
Authors: Aeneas Rooch, Murad S. Taqqu, Herold Dehling 
Publication date: 20 March 2013
Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)
Abstract: We investigate the power of the CUSUM test and the Wilcoxon change-point test for a shift in the mean of a process with long-range dependent noise. We derive analytiv formulas for the power of these tests under local alternatives. These results enable us to calculate the asymptotic relative efficiency (ARE) of the CUSUM test and the Wilcoxon change point test. We obtain the surprising result that for Gaussian data, the ARE of these two tests equals 1, in contrast to the case of i.i.d. noise when the ARE is known to be .
Full work available at URL: https://arxiv.org/abs/1303.4917
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Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
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Cited In (36)
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