We investigate the large-sample behavior of change-point tests based on weighted two-sample U-statistics, in the case of short-range dependent data. Under some mild mixing conditions, we establish convergence of the test statistic to an extreme value distribution. A simulation study shows that the weighted tests are superior to the non-weighted versions when the change-point occurs near the boundary of the time interval, while they loose power in the center.
翻译:我们根据加权的两样U-统计数据调查了基于加权的两样U-统计的改变点测试的大规模抽样行为,如果是短期依赖数据的话。在某些温和的混合条件下,我们把试验统计与极端值分布相融合。模拟研究表明,当改变点发生在时间间隔的边界附近时,加权测试优于非加权版本,而变化点在中间的功率却松散了。