Robust estimation of change-point location
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Date
2017
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Abstract
We introduce a robust estimator of the location parameter for the change-point in the
mean based on the Wilcoxon statistic and establish its consistency for L1 near epoch
dependent processes. It is shown that the consistency rate depends on the magnitude
of change. A simulation study is performed to evaluate finite sample properties of the
Wilcoxon-type estimator in standard cases, as well as under heavy-tailed distributions and
disturbances by outliers, and to compare it with a CUSUM-type estimator. It shows that
the Wilcoxon-type estimator is equivalent to the CUSUM-type estimator in standard cases,
but outperforms the CUSUM-type estimator in presence of heavy tails or outliers in the
data.
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Keywords
Wilcoxon statistic, near epoch dependence, change-point estimator