On rank tests for shift detection in time series

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dc.contributor.authorFried, Roland
dc.contributor.authorGather, Ursula
dc.date.accessioned2007-02-21T14:45:39Z
dc.date.available2007-02-21T14:45:39Z
dc.date.issued2007-02-21T14:45:39Z
dc.description.abstractRobustified 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.en
dc.identifier.urihttp://hdl.handle.net/2003/23301
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-85
dc.language.isoende
dc.subjectJumpsen
dc.subjectOutliersen
dc.subjectSignal extractionen
dc.subjectTest resistanceen
dc.subject.ddc004
dc.titleOn rank tests for shift detection in time seriesen
dc.typeTextde
dc.type.publicationtypereporten
dcterms.accessRightsopen access

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