Work

Change-point tests under local alternatives for long-range dependent processes

Year: 2017

Type: article

Abstract: We consider the change-point problem for the marginal distribution of subordinated Gaussian processes that exhibit long-range dependence. The asymptotic distributions of Kolmogorov-Smirnov- and Cramér-von Mises type statistics are investigated under local alternatives. By doing so we are able to compute the asymptotic relative efficiency of the mentioned tests and the CUSUM test. In the special case of a mean-shift in Gaussian data it is always $1$. Moreover, our theory covers the scenario where the Hermite rank of the underlying process changes. In a small simulation study, we show that the theoretical findings carry over to the finite sample performance of the tests.

Source: Electronic Journal of Statistics

DOI: 10.1214/17-ejs1285

Author: Johannes Tewes

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

Funder: Deutsche Forschungsgemeinschaft

Award: G2994312516