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Activity Number: 387 - Software
Type: Contributed
Date/Time: Thursday, August 12, 2021 : 12:00 PM to 1:50 PM
Sponsor: International Statistical Institute
Abstract #318961
Title: Second-Order Asymptotics of the Empirical Process Under Long-Range Dependence
Author(s): Marie-Christine D√ľker* and Annika Betken
Companies: Cornell University and University of Twente
Keywords: long-range dependence; empirical process; change-point

Due to the slow convergence of the empirical process under long-range dependence, tests for structural changes in the data (based on the asymptotic distribution of the empirical process) are more likely to falsely reject the hypothesis for a small sample size. This talk suggests an alternative approach to determine critical values based on the second order term of the empirical process. The second order term behaves short-range dependent in the sense that it requires the same normalization as the empirical process of i.i.d. data. Empirical results show that the proposed procedure shows favorable performance in comparison to the asymptotic critical values based on the original test statistic as well as in comparison to bootstrapping and subsampling. Theoretical verifications and a data application will also be presented.

Authors who are presenting talks have a * after their name.

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