JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE) ›› 2026, Vol. 61 ›› Issue (9): 108-122.doi: 10.6040/j.issn.1671-9352.0.2025.133

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Robust detection of persistence change point in heteroscedastic sequences

SONG Jiale1, JIN Hao2, YANG Yunfeng1   

  1. 1. School of Science, Xian University of Science and Technology, Xian 710054, Shaanxi, China;
    2. School of Computer Science and Technology, Xian University of Science and Technology, Xian 710054, Shaanxi, China
  • Published:2026-09-30

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Abstract: In persistence change-point testing for strongly mixing heteroscedastic sequences, a ratio-based test statistic using least absolute deviation(LAD)estimation is proposed to address the bias in least squares estimation caused by heteroscedasticity. Theoretically, this approach not only avoids the necessity for consistent estimation of long-term variance but also eliminates the need for assumptions or estimation of the variance function. Under some certain conditions, the limit distribution of the statistic under the null hypothesis is derived, and its consistency is proven under the alternative. Numerical simulation indicates that the Ratio-type test based on LAD estimation exhibits good empirical size, and the empirical power also demonstrates satisfactory robustness compared with the least squares estimation. Finally, a set of stock price data are used to further validate the effectiveness and feasibility of the proposed method.

Key words: persistence change, heteroscedastic sequence, ratio-type test, least absolute deviation estimation

CLC Number: 

  • O211
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