Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Dehling, Herold | - |
dc.contributor.author | Fried, Roland | - |
dc.contributor.author | Wendler, Martin | - |
dc.date.accessioned | 2015-06-29T12:15:00Z | - |
dc.date.available | 2015-06-29T12:15:00Z | - |
dc.date.issued | 2015 | - |
dc.identifier.uri | http://hdl.handle.net/2003/34124 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-7443 | - |
dc.description.abstract | We present a robust test for change-points in time series which is based on the two-sample Hodges-Lehmann estimator. We develop new limit theory for a class of statistics based on the two-sample U-quantile processes, in the case of short range dependent observations. Using this theory we can derive the asymptotic distribution of our test statistic under the null hypothesis. We study the finite sample properties of our test via a simulation study and compare the test with the classical CUSUM test and a test based on the Wilcoxon- Mann-Whitney statistic. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB 823;16/2015 | - |
dc.subject | change-point tests | en |
dc.subject | functional central limit theorem | en |
dc.subject | two-sample U-quantiles | en |
dc.subject | two-sample U-process | en |
dc.subject | two-sample U-statistics | en |
dc.subject | weakly dependent data | en |
dc.subject | time series | en |
dc.subject | Hodges-Lehmann estimator | en |
dc.subject | shift detection | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | A robust method for shift detection in time series | 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_1615_SFB823_Dehling_Fried_Wendler.pdf | DNB | 228.73 kB | Adobe PDF | View/Open |
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This item is protected by original copyright
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