Dehling, HeroldFried, RolandWendler, Martin2015-06-292015-06-292015http://hdl.handle.net/2003/3412410.17877/DE290R-7443We 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.enDiscussion Paper / SFB 823;16/2015change-point testsfunctional central limit theoremtwo-sample U-quantilestwo-sample U-processtwo-sample U-statisticsweakly dependent datatime seriesHodges-Lehmann estimatorshift detection310330620working paper