A robust test for mean change in dependent observations

Journal of inequalities and applications

Ruibing Qin¹ 

关键词: change point;    median;    robust test;    consistency;    62G08;    62M10;   

DOI  :  10.1186/s13660-015-0569-8

学科分类：数学（综合）

来源: SpringerOpen

【 摘 要 】

A robust test based on the indicators of the data minus the sample median is proposed to detect the change in the mean of α-mixing stochastic sequences. The asymptotic distribution of the test is established under the null hypothesis that the mean μ remains as a constant. The consistency of the proposed test is also obtained under the alternative hypothesis that μ changes at some unknown time. Simulations demonstrate that the test behaves well for heavy-tailed sequences.

【 授权许可】

CC BY