Asymptotics of trimmed CUSUM statistics

DOI10.3150/10-BEJ318zbMATH Open1229.62017OpenAlexW3105542117MaRDI QIDQ654411FDOQ654411

Authors István Berkes, Lajos Horváth, Johannes Schauer

Publication date 28 December 2011

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1201.1124

zbMATH Keywords

trimmingchange pointresamplingweak convergencestable distributions

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Nonparametric hypothesis testing (62G10) Asymptotic properties of parametric tests (62F05)

Abstract: There is a wide literature on change point tests, but the case of variables with infinite variances is essentially unexplored. In this paper we address this problem by studying the asymptotic behavior of trimmed CUSUM statistics. We show that in a location model with i.i.d. errors in the domain of attraction of a stable law of parameter $0<alpha<2$, the appropriately trimmed CUSUM process converges weakly to a Brownian bridge. Thus, after moderate trimming, the classical method for detecting change points remains valid also for populations with infinite variance. We note that according to the classical theory, the partial sums of trimmed variables are generally not asymptotically normal and using random centering in the test statistics is crucial in the infinite variance case. We also show that the partial sums of truncated and trimmed random variables have different asymptotic behavior. Finally, we discuss resampling procedures which enable one to determine critical values in the case of small and moderate sample sizes.

Recommendations

• Asymptotic behavior of trimmed sums
• Trimmed stable AR(1) processes
• Change Point Detection with Stable AR(1) Errors
• The central limit theorem for sums of trimmed variables with heavy tails
• Asymptotic properties for the sequential CUSUM procedure

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