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On the isotonic change-point problem

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  • Gang Shen
  • Hui Xu

Abstract

This work provides a new nonparametric test with a flavour of the classical Mann-Whitney test for the isotonic change-point problem on correlated data with short-range dependence. The test statistic has a normal null limiting distribution and asymptotic test power 1 under the local alternative. Numerical study indicates that it has a similar or slightly better performance than the oracle form of the existing tests on independent data and works very well on moderate-sized correlated data where the existing tests usually fail. Its application to the global temperature data is presented.

Suggested Citation

  • Gang Shen & Hui Xu, 2013. "On the isotonic change-point problem," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 25(4), pages 923-937, December.
    • Handle: RePEc:taf:gnstxx:v:25:y:2013:i:4:p:923-937
    DOI: 10.1080/10485252.2013.821472
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    References listed on IDEAS

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    1. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-858, May.
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    Cited by:

    1. Shen, Gang & D’Silva, Karl, 2015. "A hybrid test for the isotonic change-point problem," Statistics & Probability Letters, Elsevier, vol. 99(C), pages 36-43.

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