Title: Efficiency of rank-based change-point tests for long-range dependent time series
Authors: Martin Wendler - Ernst Moritz Arndt Universitaet Greifswald (Germany)
Annika Betken - Ruhr-Universitat Bochum (Germany) [presenting]
Abstract: Change-point tests based on rank statistics are considered to test for structural changes in long-range dependent observations. Under the hypothesis of stationary time series as well as under the assumption of a structural change in the data, i.e. under (local) alternatives approaching the null hypothesis of no change, the asymptotic distributions of the corresponding test statistics are derived. These theoretical results are based on a uniform reduction principle for the sequential empirical process in a two-parameter Skorohod space equipped with a weighted supremum norm. Moreover, we compare the efficiency of rank tests resulting from the consideration of different score functions. Theoretical results are accompanied by simulation studies.