Ratio detection for mean change in α mixing observations

Ruibing Qin and Weiqi Liu

Communications in Statistics - Theory and Methods, 2019, vol. 48, issue 7, 1693-1708

Abstract: A ratio test based on the indicators of the data minus the sample median is proposed to detect the change in the mean of α-mixing stochastic sequences. The asymptotic distribution of the test is derived under the null hypothesis. The consistency of the proposed test is also obtained under the hypothesis that μ changes at some unknown time. We also propose a consistent estimator for the change point on the ratio test. Simulations demonstrate that the test and the estimator behaves well for heavy-tailed sequences. At last, an empirical application demonstrate the validity of the test and the estimator.

Date: 2019
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DOI: 10.1080/03610926.2018.1438623

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