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When analyzing time series which are supposed to exhibit long-range dependence (LRD), a basic issue is the estimation of the LRD parameter, for example the Hurst parameter $$H \in (1/2, 1)$$ H ∈ ( 1 / 2 , 1 ) . Conventional estimators of H easily lead to spurious detection of long memory if the time series includes a shift in the mean. This defect has fatal consequences in change-point problems:...
Abstract. We propose a non‐parametric change‐point test for long‐range dependent data, which is based on the Wilcoxon two‐sample test. We derive the asymptotic distribution of the test statistic under the null hypothesis that no change occurred. In a simulation study, we compare the power of our test with the power of a test which is based on differences of means. The results of the simulation study...
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