Robust discrimination between long‐range dependence and a change in mean

@article{Gerstenberger2018RobustDB,
  title={Robust discrimination between long‐range dependence and a change in mean},
  author={Carina Gerstenberger},
  journal={arXiv: Methodology},
  year={2018}
}
In this paper we introduce a robust to outliers Wilcoxon change-point testing procedure, for distinguishing between short-range dependent time series with a change in mean at unknown time and stationary long-range dependent time series. We establish the asymptotic distribution of the test statistic under the null hypothesis for $L_1$ near epoch dependent processes and show its consistency under the alternative. The Wilcoxon-type testing procedure similarly as the CUSUM-type testing procedure of… 

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