Robust discrimination between long-range dependence and a change in mean
- In this article 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 \(\it {L}_1\) 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 I., Horváth L., Kokoszka P. and Shao Q. 2006. \(\it Ann.Statist.\) 34:1140–1165), 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.
Author: | Carina GerstenbergerORCiDGND |
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URN: | urn:nbn:de:hbz:294-99949 |
DOI: | https://doi.org/10.1111/jtsa.12554 |
Parent Title (English): | Journal of time series analysis |
Publisher: | Wiley |
Place of publication: | Hoboken, New Jersey |
Document Type: | Article |
Language: | English |
Date of Publication (online): | 2023/06/23 |
Date of first Publication: | 2020/07/15 |
Publishing Institution: | Ruhr-Universität Bochum, Universitätsbibliothek |
Tag: | Wilcoxon change-point test statistic; change-point; long-range dependence; near epoch dependence |
Volume: | 42 |
Issue: | 1 |
First Page: | 34 |
Last Page: | 62 |
Note: | Dieser Beitrag ist auf Grund des DEAL-Wiley-Vertrages frei zugänglich. |
Institutes/Facilities: | Lehrstuhl für Mathematik XII, Wahrscheinlichkeitstheorie und ihre Anwendungen |
Dewey Decimal Classification: | Naturwissenschaften und Mathematik / Mathematik |
open_access (DINI-Set): | open_access |
faculties: | Fakultät für Mathematik |
Licence (English): | Creative Commons - CC BY 4.0 - Attribution 4.0 International |