Non‐Parametric Change‐Point Tests for Long‐Range Dependent Data
Non‐Parametric Change‐Point Tests for Long‐Range Dependent Data
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 …