Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Rank-based change-point analysis for long-range dependent time series   We 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 and under the assumption of a change with decreasing
change-point height, the asymptotic distributions of corresponding test
statistics are derived. For this, a uniform reduction principle for the
sequential empirical process in a two-parameter Skorohod space equipped with a
weighted supremum norm is proved. Moreover, we compare the efficiency of rank
tests resulting from the consideration of different score functions. Under
Gaussianity, the asymptotic relative efficiency of rank-based tests with
respect to the CuSum test is 1, irrespective of the score function. Regarding
the practical implementation of rank-based change-point tests, we suggest to
combine self-normalized rank statistics with subsampling. The theoretical
results are accompanied by simulation studies that, in particular, allow for a
comparison of rank tests resulting from different score functions. With respect
to the finite sample performance of rank-based change-point tests, the Van der
Waerden rank test proves to be favorable in a broad range of situations.
Finally, we analyze data sets from economy, hydrology, and network traffic
monitoring in view of structural changes and compare our results to previous
analysis of the data.

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The categories of this paper are: atom-ph
7
The categories of this paper are: hep-th
27
The categories of this paper are: comp-gas
31
The categories of this paper are: ao-sci
12
The categories of this paper are: nucl-th
19
The categories of this paper are: eess
35
The categories of this paper are: mtrl-th
10
The categories of this paper are: q-bio
21
The categories of this paper are: adap-org
8
The categories of this paper are: hep-ex
23
The categories of this paper are: solv-int
25
The categories of this paper are: patt-sol
9
The categories of this paper are: nlin
11
The categories of this paper are: hep-lat
6
The categories of this paper are: astro-ph
14
The categories of this paper are: math-ph