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Ratio detection for mean change in α mixing observations

Author

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  • Ruibing Qin
  • Weiqi Liu

Abstract

A ratio 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 derived under the null hypothesis. The consistency of the proposed test is also obtained under the hypothesis that μ changes at some unknown time. We also propose a consistent estimator for the change point on the ratio test. Simulations demonstrate that the test and the estimator behaves well for heavy-tailed sequences. At last, an empirical application demonstrate the validity of the test and the estimator.

Suggested Citation

  • Ruibing Qin & Weiqi Liu, 2019. "Ratio detection for mean change in α mixing observations," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 48(7), pages 1693-1708, April.
    • Handle: RePEc:taf:lstaxx:v:48:y:2019:i:7:p:1693-1708
    DOI: 10.1080/03610926.2018.1438623
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