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Testing for Change‐Points in Long‐Range Dependent Time Series by Means of a Self‐Normalized Wilcoxon Test
Author(s) -
Betken Annika
Publication year - 2016
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/jtsa.12187
Subject(s) - mathematics , wilcoxon signed rank test , statistics , statistic , test statistic , sample size determination , range (aeronautics) , sign test , series (stratigraphy) , statistical hypothesis testing , mann–whitney u test , paleontology , materials science , composite material , biology
We propose a testing procedure based on the Wilcoxon two‐sample test statistic in order to test for change‐points in the mean of long‐range dependent data. We show that the corresponding self‐normalized test statistic converges in distribution to a non‐degenerate limit under the hypothesis that no change occurred and that it diverges to infinity under the alternative of a change‐point with constant height. Furthermore, we derive the asymptotic distribution of the self‐normalized Wilcoxon test statistic under local alternatives, that is, under the assumption that the height of the level shift decreases as the sample size increases. Regarding the finite sample performance, simulation results confirm that the self‐normalized Wilcoxon test yields a consistent discrimination between hypothesis and alternative and that its empirical size is already close to the significance level for moderate sample sizes.