文章基本信息

标题：Power of change-point tests for long-range dependent data
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作者：Herold Dehling ; Aeneas Rooch ; Murad S. Taqqu 等
期刊名称：Electronic Journal of Statistics
印刷版ISSN：1935-7524
出版年度：2017
卷号：11
期号：1
页码：2168-2198
DOI：10.1214/17-EJS1283
语种：English
出版社：Institute of Mathematical Statistics
摘要：We investigate the power of the CUSUM test and the Wilcoxon change-point tests for a shift in the mean of a process with long-range dependent noise. We derive analytic formulas for the power of these tests under local alternatives. These results enable us to calculate the asymptotic relative efficiency (ARE) of the CUSUM test and the Wilcoxon change point test. We obtain the surprising result that for Gaussian data, the ARE of these two tests equals $1$, in contrast to the case of i.i.d. noise when the ARE is known to be $3/\pi$.
关键词：Nonparametric change-point tests;Wilcoxon two-sample rank test;power of test;asymptotic relative efficiency of tests, long-range dependent data.