Title: Testing changed segment by maximal ratio statistics
Authors: Alfredas Rackauskas - Vilnius University (Lithuania) [presenting]
Abstract: A new test statistic is proposed for testing changed segment in a sample of regularly varying random variables. The basic idea is to take maximal ratios of weighted moving sums, avoiding possible normalization problems and, at the same time, providing tools for testing small changed segments. We show how the asymptotic distribution of the maximal ratio statistics depends on weights of moving sums and provide some empirical illustrations.