Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Dehling, Herold | - |
dc.contributor.author | Fried, Roland | - |
dc.contributor.author | Garcia, Isabel | - |
dc.contributor.author | Wendler, Martin | - |
dc.date.accessioned | 2013-04-23T13:22:01Z | - |
dc.date.available | 2013-04-23T13:22:01Z | - |
dc.date.issued | 2013-04-23 | - |
dc.identifier.uri | http://hdl.handle.net/2003/30180 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-5484 | - |
dc.description.abstract | We study the detection of change-points in time series. The classical CUSUM statistic for detection of jumps in the mean is known to be sensitive to outliers. We thus propose a robust test based on the Wilcoxon two-sample test statistic. The asymptotic distribution of this test can be derived from a functional central limit theorem for two-sample U-statistics. We extend a theorem of Csorgo and Horvath to the case of dependent data. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB 823;15/2013 | - |
dc.subject | change-point problems | en |
dc.subject | two-sample U-statistics | en |
dc.subject | weakly dependent data | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | Change-point detection under dependence based on two-sample U-statistics | en |
dc.type | Text | de |
dc.type.publicationtype | workingPaper | de |
dcterms.accessRights | open access | - |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_1513_SFB823_Dehling_Fried_Garcia_Wendler.pdf | DNB | 249.62 kB | Adobe PDF | View/Open |
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