Authors: Dehling, Herold
Fried, Roland
Garcia, Isabel
Wendler, Martin
Title: Change-point detection under dependence based on two-sample U-statistics
Language (ISO): en
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.
Subject Headings: change-point problems
two-sample U-statistics
weakly dependent data
Issue Date: 2013-04-23
Appears in Collections:Sonderforschungsbereich (SFB) 823

Files in This Item:
File Description SizeFormat 
DP_1513_SFB823_Dehling_Fried_Garcia_Wendler.pdfDNB249.62 kBAdobe PDFView/Open

This item is protected by original copyright

All resources in the repository are protected by copyright.