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dc.contributor.authorDehling, Herold-
dc.contributor.authorFried, Roland-
dc.contributor.authorWendler, Martin-
dc.date.accessioned2015-06-29T12:15:00Z-
dc.date.available2015-06-29T12:15:00Z-
dc.date.issued2015-
dc.identifier.urihttp://hdl.handle.net/2003/34124-
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-7443-
dc.description.abstractWe 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.en
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB 823;16/2015-
dc.subjectchange-point testsen
dc.subjectfunctional central limit theoremen
dc.subjecttwo-sample U-quantilesen
dc.subjecttwo-sample U-processen
dc.subjecttwo-sample U-statisticsen
dc.subjectweakly dependent dataen
dc.subjecttime seriesen
dc.subjectHodges-Lehmann estimatoren
dc.subjectshift detectionen
dc.subject.ddc310-
dc.subject.ddc330-
dc.subject.ddc620-
dc.titleA robust method for shift detection in time seriesen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access-
Appears in Collections:Sonderforschungsbereich (SFB) 823

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