Dehling, HeroldFried, RolandGarcia, IsabelWendler, Martin2013-04-232013-04-232013-04-23http://hdl.handle.net/2003/3018010.17877/DE290R-5484We 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.enDiscussion Paper / SFB 823;15/2013change-point problemstwo-sample U-statisticsweakly dependent data310330620working paper