English

Robust Discrimination between Long-Range Dependence and a Change in Mean

Methodology 2020-07-07 v2

Abstract

In this paper 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 L1L_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, Horv\'ath, Kokoszka and Shao (2006), 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.

Keywords

Cite

@article{arxiv.1804.01268,
  title  = {Robust Discrimination between Long-Range Dependence and a Change in Mean},
  author = {Carina Gerstenberger},
  journal= {arXiv preprint arXiv:1804.01268},
  year   = {2020}
}

Comments

34 pages, 5 figure, 5 tables

R2 v1 2026-06-23T01:13:23.965Z