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 |
Files in This Item:
File | Description | Size | Format | |
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tr48-06.pdf | DNB | 214.08 kB | Adobe PDF | View/Open |
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