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Subsampling tests for the mean change point with heavy-tailed innovations

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  • Jin, Hao
  • Tian, Zheng
  • Qin, Ruibing

Abstract

The quest of the mean change point with innovations in the domain of attraction of a κ-stable law appears to still be ongoing. We adopt the residual CUSUM of squares test (RCUSQ) and derive its null asymptotic distribution, which is dependent on stable index κ. Then a residual-based subsampling is proposed to approximate the null distribution when stable index κ is unknown. Consistency and the rate of convergence for the estimated change point are also obtained. We establish the asymptotic validity of this method and assess its performance both theoretically and numerically.

Suggested Citation

  • Jin, Hao & Tian, Zheng & Qin, Ruibing, 2009. "Subsampling tests for the mean change point with heavy-tailed innovations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(7), pages 2157-2166.
    • Handle: RePEc:eee:matcom:v:79:y:2009:i:7:p:2157-2166
    DOI: 10.1016/j.matcom.2008.11.020
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    1. Jushan Bai, 1997. "Estimation Of A Change Point In Multiple Regression Models," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 551-563, November.
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    4. Piotr Kokoszka & Michael Wolf, 2004. "Subsampling the mean of heavy‐tailed dependent observations," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(2), pages 217-234, March.
    5. Lee, Chien-Chiang & Chien, Mei-Se, 2008. "Structural breaks, tourism development, and economic growth: Evidence from Taiwan," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(4), pages 358-368.
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    Cited by:

    1. Jin, Hao & Zhang, Jinsuo, 2011. "Modified tests for variance changes in autoregressive regression," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(6), pages 1099-1109.

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