Subsampling tests for the mean change point with heavy-tailed innovations

Hao Jin, Zheng Tian and Ruibing Qin

Mathematics and Computers in Simulation (MATCOM), 2009, vol. 79, issue 7, 2157-2166

Abstract: The quest of the mean change point with innovations in the domain of attraction of a κ-stable law appears to still be ongoing. We adopt the residual CUSUM of squares test (RCUSQ) and derive its null asymptotic distribution, which is dependent on stable index κ. Then a residual-based subsampling is proposed to approximate the null distribution when stable index κ is unknown. Consistency and the rate of convergence for the estimated change point are also obtained. We establish the asymptotic validity of this method and assess its performance both theoretically and numerically.

Keywords: Heavy-tailed; Subsampling; RCUSQ test; Change point (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:79:y:2009:i:7:p:2157-2166

DOI: 10.1016/j.matcom.2008.11.020

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