A robust test for mean change in dependent observations

A robust test based on the indicators of the data minus the sample median is proposed to detect the change in the mean of alpha-mixing stochastic sequences. The asymptotic distribution of the test is established under the null hypothesis that the mean mu remains as a constant. The consistency of the proposed test is also obtained under the alternative hypothesis that mu changes at some unknown time. Simulations demonstrate that the test behaves well for heavy-tailed sequences.