TY - JOUR
T1 - A simple test of changes in mean in the possible presence of long-range dependence
AU - Shao, Xiaofeng
PY - 2011/11
Y1 - 2011/11
N2 - We propose a simple testing procedure to test for a change point in the mean of a possibly long-range dependent time series. Under the null hypothesis, the series is stationary with long-range dependence and our test statistic converges to a non-degenerate distribution, whereas under the alternative, the series has a change point in the mean and the test statistic diverges to infinity. We demonstrate the good size and power properties of our test via simulations and illustrate its usefulness by analysing two real data sets.
AB - We propose a simple testing procedure to test for a change point in the mean of a possibly long-range dependent time series. Under the null hypothesis, the series is stationary with long-range dependence and our test statistic converges to a non-degenerate distribution, whereas under the alternative, the series has a change point in the mean and the test statistic diverges to infinity. We demonstrate the good size and power properties of our test via simulations and illustrate its usefulness by analysing two real data sets.
KW - Change point
KW - Long-range dependent
KW - Spurious long memory
KW - Structural break
UR - https://www.scopus.com/pages/publications/80053922177
U2 - 10.1111/j.1467-9892.2010.00717.x
DO - 10.1111/j.1467-9892.2010.00717.x
M3 - Article
AN - SCOPUS:80053922177
SN - 0143-9782
VL - 32
SP - 598
EP - 606
JO - Journal of Time Series Analysis
JF - Journal of Time Series Analysis
IS - 6
ER -