A robust method for shift detection in time series

dc.contributor.author	Dehling, Herold
dc.contributor.author	Fried, Roland
dc.contributor.author	Wendler, Martin
dc.date.accessioned	2015-06-29T12:15:00Z
dc.date.available	2015-06-29T12:15:00Z
dc.date.issued	2015
dc.description.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.	en
dc.identifier.uri	http://hdl.handle.net/2003/34124
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-7443
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823;16/2015
dc.subject	change-point tests	en
dc.subject	functional central limit theorem	en
dc.subject	two-sample U-quantiles	en
dc.subject	two-sample U-process	en
dc.subject	two-sample U-statistics	en
dc.subject	weakly dependent data	en
dc.subject	time series	en
dc.subject	Hodges-Lehmann estimator	en
dc.subject	shift detection	en
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.title	A robust method for shift detection in time series	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access

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