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Research Bernoulli Institute Calendar

Colloquium Mathematics - Dr. A. Betken

When:Th 02-07-2020 09:20 - 10:05
Where:Online via BlueJeans (see below)

Title: Rank-based change-point tests for long-range dependent time series


Following an introduction to change-point analysis and the concept of longrange dependent time series, we will consider change-point tests based on rank statistics to test for structural changes in long-range dependent observations. Under the hypothesis of stationary time series, the asymptotic distributions of the corresponding test statistics are derived. For this, we consider a uniform reduction principle for the empirical process in a two-parameter Skorohod space equipped with a weighted supremum norm. Moreover, special emphasis is laid on an application-oriented approach to the mathematical results by considering self-normalized statistics and an approximation of the distribution of test statistics by subsampling procedures. Theoretical results are motivated by data and accompanied by simulations.


Please use this link to join the seminar.