Authors: Dehling, Herold
Fried, Roland
Wendler, Martin
Title: A robust method for shift detection in time series
Language (ISO): en
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.
Subject Headings: change-point tests
functional central limit theorem
two-sample U-quantiles
two-sample U-process
two-sample U-statistics
weakly dependent data
time series
Hodges-Lehmann estimator
shift detection
Issue Date: 2015
Appears in Collections:Sonderforschungsbereich (SFB) 823

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