Authors: Fried, Roland
Gather, Ursula
Title: On rank tests for shift detection in time series
Language (ISO): en
Abstract: Robustified rank tests, applying a robust scale estimator, are investigated for reliable and fast shift detection in time series. The tests show good power for sufficiently large shifts, low false detection rates for Gaussian noise and high robustness against outliers. Wilcoxon scores in combination with a robust and efficient scale estimator achieve good performance in many situations.
Subject Headings: Jumps
Outliers
Signal extraction
Test resistance
URI: http://hdl.handle.net/2003/23301
http://dx.doi.org/10.17877/DE290R-85
Issue Date: 2007-02-21T14:45:39Z
Appears in Collections:Sonderforschungsbereich (SFB) 475

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