Abstract
We consider change-point tests based on rank statistics to test for structural changes in long-range dependent observations. Under the hypothesis of stationary time series and under the assumption of a change with decreasing change-point height, the asymptotic distributions of corresponding test statistics are derived. For this, a uniform reduction principle for the sequential empirical process in a two-parameter Skorohod space equipped with a weighted supremum norm is proved. Moreover, we compare the efficiency of rank tests resulting from the consideration of different score functions. Under Gaussianity, the asymptotic relative efficiency of rank-based tests with respect to the CuSum test is 1, irrespective of the score function.
Regarding the practical implementation of rank-based change-point tests, we suggest to combine self-normalized rank statistics with subsampling. The theoretical results are accompanied by simulation studies that, in particular, allow for a comparison of rank tests resulting from different score functions. With respect to the finite sample performance of rank-based change-point tests,
the Van der Waerden rank test proves to be
favorable in a broad range of situations.
Finally, we analyze data sets from economy, hydrology, and network traffic monitoring in view of structural changes and compare our results to previous analysis of the data.
Regarding the practical implementation of rank-based change-point tests, we suggest to combine self-normalized rank statistics with subsampling. The theoretical results are accompanied by simulation studies that, in particular, allow for a comparison of rank tests resulting from different score functions. With respect to the finite sample performance of rank-based change-point tests,
the Van der Waerden rank test proves to be
favorable in a broad range of situations.
Finally, we analyze data sets from economy, hydrology, and network traffic monitoring in view of structural changes and compare our results to previous analysis of the data.
Original language | English |
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Pages (from-to) | 2209-2233 |
Journal | Bernoulli |
Volume | 28 |
Issue number | 4 |
DOIs | |
Publication status | Published - Nov 2022 |
Keywords
- NLA