Open AccessA robust method for shift detection in time series
Author(s) -
Herold Dehling,
Roland Fried,
Martin Wendler
Publication year - 2020
Publication title -
biometrika
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 3.307
H-Index - 122
eISSN - 1464-3510
pISSN - 0006-3444
DOI - 10.1093/biomet/asaa004
Subject(s) - cusum , quantile , test statistic , mathematics , series (stratigraphy) , estimator , statistics , asymptotic distribution , statistic , asymptotic analysis , null distribution , one and two tailed tests , wilcoxon signed rank test , null hypothesis , alternative hypothesis , statistical hypothesis testing , mann–whitney u test , paleontology , biology
We 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.
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