| Title |
Convergence of U-processes in Holder spaces with application to robust detection of a changed segment / |
| Authors |
Račkauskas, Alfredas ; Wendler, Martin |
| DOI |
10.1007/s00362-020-01161-9 |
| Full Text |
|
| Is Part of |
Statistical papers.. New York : Springer. 2020, vol. 61, iss. 4, spec. iss. SI, p. 1409-1435.. ISSN 0932-5026. eISSN 1613-9798 |
| Keywords [eng] |
Wilcoxon statistic ; Epidemic change ; Functional central limit theorem ; Holder space |
| Abstract [eng] |
To detect a changed segment (so called epidemic changes) in a time series, variants of the CUSUM statistic are frequently used. However, they are sensitive to outliers in the data and do not perform well for heavy tailed data, especially when short segments get a high weight in the test statistic. We will present a robust test statistic for epidemic changes based on the Wilcoxon statistic. To study their asymptotic behavior, we prove functional limit theorems for U-processes in Holder spaces. We also study the finite sample behavior via simulations and apply the statistic to a real data example. |
| Published |
New York : Springer |
| Type |
Journal article |
| Language |
English |
| Publication date |
2020 |
| CC license |
|
