A simple test of changes in mean in the possible presence of long-range dependence

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Abstract

We propose a simple testing procedure to test for a change point in the mean of a possibly long-range dependent time series. Under the null hypothesis, the series is stationary with long-range dependence and our test statistic converges to a non-degenerate distribution, whereas under the alternative, the series has a change point in the mean and the test statistic diverges to infinity. We demonstrate the good size and power properties of our test via simulations and illustrate its usefulness by analysing two real data sets.

Original languageEnglish (US)
Pages (from-to)598-606
Number of pages9
JournalJournal of Time Series Analysis
Volume32
Issue number6
DOIs
StatePublished - Nov 1 2011

Keywords

  • Change point
  • Long-range dependent
  • Spurious long memory
  • Structural break

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

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