On the isotonic change-point problem. (English) Zbl 1416.62470
Summary: 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.
MSC:
| 62M07 | Non-Markovian processes: hypothesis testing |
| 62G10 | Nonparametric hypothesis testing |
| 62G20 | Asymptotic properties of nonparametric inference |
| 62P12 | Applications of statistics to environmental and related topics |
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