Tests for Scale Changes Based on Pairwise Differences

• 成果类型: Article
• 署名作者: Gerstenberger, Carina; Vogel, Daniel; Wendler, Martin
• 署名单位: Ruhr University Bochum; University of Aberdeen; Universitat Greifswald
• 刊物名称: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
• ISSN/ISSBN: 0162-1459
• DOI: 10.1080/01621459.2019.1629938
• 发表日期: 2020
• 页码: 1336-1348
• 关键词: Bootstrap; estimators; quantiles; variance; squares; sums

摘要

In many applications it is important to know whether the amount of fluctuation in a series of observations changes over time. In this article, we investigate different tests for detecting changes in the scale of mean-stationary time series. The classical approach, based on the CUSUM test applied to the squared centered observations, is very vulnerable to outliers and impractical for heavy-tailed data, which leads us to contemplate test statistics based on alternative, less outlier-sensitive scale estimators. It turns out that the tests based on Gini's mean difference (the average of all pairwise distances) and generalized Q(n) estimators (sample quantiles of all pairwise distances) are very suitable candidates. They improve upon the classical test not only under heavy tails or in the presence of outliers, but also under normality. We use recent results on the process convergence of U-statistics and U-quantiles for dependent sequences to derive the limiting distribution of the test statistics and propose estimators for the long-run variance. We show the consistency of the tests and demonstrate the applicability of the new change-point detection methods at two real-life data examples from hydrology and finance. for this article are available online.