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 |
URI: | http://hdl.handle.net/2003/30180 http://dx.doi.org/10.17877/DE290R-5484 |
Issue Date: | 2013-04-23 |
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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