Subsampling tests for the mean change point with heavy-tailed innovations
The quest of the mean change point with innovations in the domain of attraction of a kappa-stable law appears to still be ongoing. We adopt the residual CUSUM of squares test (RCUSQ) and derive its null asymptotic distribution, which is dependent on stable index kappa. Then a residual-based subsampling is proposed to approximate the null distribution when stable index kappa is unknown. Consistency and the rate of convergence for the estimated change point are also obtained. We establish the asymptotic validity of this method and assess its performance both theoretically and numerically. (C) 2008 IMACS. Published by Elsevier B.V. All rights reserved.
subsampling change point heavy-tailed rcusq test