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Change-point tests under local alternatives for long-range dependent processes

24 June 2015
J. Tewes
ArXiv (abs)PDFHTML
Abstract

We consider the change-point problem for the marginal distribution of subordinated Gaussian processes that exhibit long-range dependence. The asymptotic distributions of Kolmogorov-Smirnov- and Cram\'{e}r-von Mises type statistics are investigated under local alternatives. By doing so we are able to compute the asymptotic relative efficiency of the mentioned tests and the CUSUM test. In the special case of a mean-shift in Gaussian data it is always 111. Moreover our theory covers the scenario where the Hermite rank of the underlying process changes. In a small simulation study we show that the theoretical findings carry over to the finite sample performance of the tests.

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