Robust discrimination between long-range dependence and a change in mean

DOI10.1111/JTSA.12554MaRDI QIDQ4997686zbMATH OpenOpenAlexFDO

Authors Carina Gerstenberger

Publication date 30 June 2021

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1804.01268

zbMATH Keywords

change-pointlong-range dependencenear epoch dependenceWilcoxon change-point test statistic

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Hydrology, hydrography, oceanography (86A05)

Abstract: In this paper we introduce a robust to outliers Wilcoxon change-point testing procedure, for distinguishing between short-range dependent time series with a change in mean at unknown time and stationary long-range dependent time series. We establish the asymptotic distribution of the test statistic under the null hypothesis for $L_1$ near epoch dependent processes and show its consistency under the alternative. The Wilcoxon-type testing procedure similarly as the CUSUM-type testing procedure of Berkes, Horv'ath, Kokoszka and Shao (2006), requires estimation of the location of a possible change-point, and then using pre- and post-break subsamples to discriminate between short and long-range dependence. A simulation study examines the empirical size and power of the Wilcoxon-type testing procedure in standard cases and with disturbances by outliers. It shows that in standard cases the Wilcoxon-type testing procedure behaves equally well as the CUSUM-type testing procedure but outperforms it in presence of outliers. We also apply both testing procedure to hydrologic data.

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Cited in

(6)

• Testing for change-points in long-range dependent time series by means of a self-normalized Wilcoxon test
• On discriminating between long-range dependence and changes in mean
• On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation
• Discrimination between monotonic trends and long-range dependence
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