Change-point detection under dependence based on two-sample U-statistics

dc.contributor.author	Dehling, Herold
dc.contributor.author	Fried, Roland
dc.contributor.author	Garcia, Isabel
dc.contributor.author	Wendler, Martin
dc.date.accessioned	2013-04-23T13:22:01Z
dc.date.available	2013-04-23T13:22:01Z
dc.date.issued	2013-04-23
dc.description.abstract	We study the detection of change-points in time series. The classical CUSUM statistic for detection of jumps in the mean is known to be sensitive to outliers. We thus propose a robust test based on the Wilcoxon two-sample test statistic. The asymptotic distribution of this test can be derived from a functional central limit theorem for two-sample U-statistics. We extend a theorem of Csorgo and Horvath to the case of dependent data.	en
dc.identifier.uri	http://hdl.handle.net/2003/30180
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-5484
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823;15/2013
dc.subject	change-point problems	en
dc.subject	two-sample U-statistics	en
dc.subject	weakly dependent data	en
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.title	Change-point detection under dependence based on two-sample U-statistics	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access

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