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 |
URI: | http://hdl.handle.net/2003/34124 http://dx.doi.org/10.17877/DE290R-7443 |
Issue Date: | 2015 |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
DP_1615_SFB823_Dehling_Fried_Wendler.pdf | DNB | 228.73 kB | Adobe PDF | View/Open |
This item is protected by original copyright |
This item is protected by original copyright rightsstatements.org