Robust estimation of change-point location

dc.contributor.author	Gerstenberger, Carina
dc.date.accessioned	2017-01-11T09:33:07Z
dc.date.available	2017-01-11T09:33:07Z
dc.date.issued	2017
dc.description.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.	en
dc.identifier.uri	http://hdl.handle.net/2003/35748
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-17776
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB823;2, 2017	en
dc.subject	Wilcoxon statistic	en
dc.subject	near epoch dependence	en
dc.subject	change-point estimator	en
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.subject.rswk	Wilcoxon-Rangsummentest	de
dc.title	Robust estimation of change-point location	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access

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