Annika Betken is an assistant professor in the Faculty of Electrical Engineering, Mathematics and Computer Science at University of Twente (in STAT research group of Johannes Schmidt-Hieber).
Talk: Rank-based change-point analysis for long-range dependent time series
Abstract: 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, the asymptotic distributions of the corresponding test statistics are derived. For this, we consider a uniform reduction principle for the empirical process in a two-parameter Skorohod space equipped with a weighted supremum norm. Moreover, special emphasis is laid on an application-oriented approach to the mathematical results by considering self-normalized statistics and an approximation of the distribution of test statistics by subsampling procedures.