A hybrid test for the isotonic change-point problem

Gang Shen and D’Silva, Karl

Statistics & Probability Letters, 2015, vol. 99, issue C, 36-43

Abstract: This work studies minimaxity of the asymptotic risk of Brillinger’s test and proposes a hybrid test for the isotonic change-point problem. The new test turns out to have asymptotic power 1 under some local alternatives and outperforms the other major tests in detecting some weak isotonic signals. An application to live data related with the Amazon flooding issue is illustrated.

Keywords: Change-point; Isotonic; Minimax; Mixing; Nonparametric (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spl.2014.12.025

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