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    Power of change-point tests for long-range dependent data

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    License
    Attribution-NonCommercial-NoDerivatives 4.0 International
    Date Issued
    2017-01-01
    Publisher Version
    10.1214/17-EJS1283
    Author(s)
    Dehling, Herold
    Rooch, Aeneas
    Taqqu, Murad S.
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    Permanent Link
    https://hdl.handle.net/2144/39134
    Version
    Published version
    Citation (published version)
    Herold Dehling, Aeneas Rooch, Murad S Taqqu. 2017. "Power of change-point tests for long-range dependent data." ELECTRONIC JOURNAL OF STATISTICS, Volume 11, Issue 1, pp. 2168 - 2198 (31). https://doi.org/10.1214/17-EJS1283
    Abstract
    We investigate the power of the CUSUM test and the Wilcoxon change-point tests for a shift in the mean of a process with long-range dependent noise. We derive analytic 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 3/π.
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    Attribution-NonCommercial-NoDerivatives 4.0 International
    Collections
    • CAS: Mathematics & Statistics: Scholarly Papers [280]
    • BU Open Access Articles [3855]


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