Regime Variance Testing --- a Quantile Approach

DOI10.5506/APHYSPOLB.44.1015MaRDI QIDQ5359870zbMATH OpenFDO

Authors Janusz Gajda, Grzegorz Sikora, Agnieszka Wyłomańska

Publication date 27 September 2017

Published in Acta Physica Polonica B (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1203.1144

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10)

Abstract: This paper is devoted to testing time series that exhibit behavior related to two or more regimes with different statistical properties. Motivation of our study are two real data sets from plasma physics with observable two-regimes structure. In this paper we develop estimation procedure for critical point of division the structure change of a time series. Moreover we propose three tests for recognition such specific behavior. The presented methodology is based on the empirical second moment and its main advantage is lack of the distribution assumption. Moreover, the examined statistical properties we express in the language of empirical quantiles of the squared data therefore the methodology is an extension of the approach known from the literature. The theoretical results we confirm by simulations and analysis of real data of turbulent laboratory plasma.

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