Abstract:
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We propose a method to detect a change point in a sequence of data with long-range dependence. As a test statistic to detect a change point in variance, a Levene-type F statistic is adopted and modified to address long-range dependent autocorrelations among data. A main modification to the statistic is done by applying effective number of independent samples (ENIS) to the test statistic, which is for removing or reducing the effect of long-range dependent autocorrelations existing in data. A simulation study is presented.
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