On rank tests for shift detection in time series
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Date
2007-02-21T14:45:39Z
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Abstract
Robustified rank tests, applying a robust scale estimator, are investigated
for reliable and fast shift detection in time series. The tests show
good power for sufficiently large shifts, low false detection rates for
Gaussian noise and high robustness against outliers. Wilcoxon scores
in combination with a robust and efficient scale estimator achieve good
performance in many situations.
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Keywords
Jumps, Outliers, Signal extraction, Test resistance