On the isotonic change-point problem

Gang Shen and Hui Xu

Journal of Nonparametric Statistics, 2013, vol. 25, issue 4, 923-937

Abstract: This work provides a new nonparametric test with a flavour of the classical Mann-Whitney test for the isotonic change-point problem on correlated data with short-range dependence. The test statistic has a normal null limiting distribution and asymptotic test power 1 under the local alternative. Numerical study indicates that it has a similar or slightly better performance than the oracle form of the existing tests on independent data and works very well on moderate-sized correlated data where the existing tests usually fail. Its application to the global temperature data is presented.

Date: 2013
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DOI: 10.1080/10485252.2013.821472

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