An ANOVA-type test for multiple change points in the mean of long memory time sequence

Abstract

In order to study the multiple change points test of the mean of linear long memory, the ANOVA statistics was constructed and the limit distribution was proved under the hypothesis condition. The critical value, experience level and empirical power of the test statistics were obtained by Monte Carlo experiment simulation. The data results show that the method is effective. Finally, the effectiveness of the proposed method is further verified by example analysis, and the analysis results show that the proposed method can be used for change point detection of actual data.

Keywords

• long memory
• multiple change points in the mean
• anova
• fractional brownian motion
• monte carlo method