Jin, Hao; Tian, Zheng; Qin, Ruibing - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 7, pp. 2157-2166
The quest of the mean change point with innovations in the domain of attraction of a κ-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 κ. Then a residual-based...