On discriminating between long-range dependence and changes in mean
Berkes, István ; Horváth, Lajos ; Kokoszka, Piotr ; Shao, Qi-Man
Ann. Statist., Tome 34 (2006) no. 1, p. 1140-1165 / Harvested from Project Euclid
We develop a testing procedure for distinguishing between a long-range dependent time series and a weakly dependent time series with change-points in the mean. In the simplest case, under the null hypothesis the time series is weakly dependent with one change in mean at an unknown point, and under the alternative it is long-range dependent. We compute the CUSUM statistic Tn, which allows us to construct an estimator k̂ of a change-point. We then compute the statistic Tn,1 based on the observations up to time k̂ and the statistic Tn,2 based on the observations after time k̂. The statistic Mn=max [Tn,1,Tn,2] converges to a well-known distribution under the null, but diverges to infinity if the observations exhibit long-range dependence. The theory is illustrated by examples and an application to the returns of the Dow Jones index.
Publié le : 2006-06-14
Classification:  Change-point in mean,  CUSUM,  long-range dependence,  variance of the mean,  62M10,  62G10
@article{1152540745,
     author = {Berkes, Istv\'an and Horv\'ath, Lajos and Kokoszka, Piotr and Shao, Qi-Man},
     title = {On discriminating between long-range dependence and changes in mean},
     journal = {Ann. Statist.},
     volume = {34},
     number = {1},
     year = {2006},
     pages = { 1140-1165},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1152540745}
}
Berkes, István; Horváth, Lajos; Kokoszka, Piotr; Shao, Qi-Man. On discriminating between long-range dependence and changes in mean. Ann. Statist., Tome 34 (2006) no. 1, pp.  1140-1165. http://gdmltest.u-ga.fr/item/1152540745/