Work

Power of weighted test statistics for structural change in time series

Year: 2024

Type: article

Abstract: We investigate the power of some common change-point tests as a function of the location of the change-point. The test statistics are maxima of weighted U-statistics, with the CUSUM test and the Wilcoxon change-point test as special examples. We study the power under local alternatives, where we vary both the change-point’s location and the magnitude of the change. We quantify in which way weighted versions of the tests exhibit greater power when the change occurs near the beginning or the end of the time interval, while losing power against changes located in the center.

Source: Electronic Journal of Statistics

DOI: 10.1214/24-ejs2248

Authors: Herold Dehling, Kata Vuk, Marin Wendler

Institutions: Ruhr University Bochum, University of Regensburg, Otto-von-Guericke-Universität Magdeburg

Language: English

Topic: Advanced Statistical Process Monitoring

Subfield: Statistics, Probability and Uncertainty

Field: Decision Sciences

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $675

OpenAlex ID: W4396940728

FWCI: 1.122

Cites: 17

Cited by: 4

Related to: 10