Change-Point Detection under Dependence Based on Two-Sample U-Statistics

Herold Dehling; Roland Fried; Isabel García; Martin Wendler

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arXiv · 1304.2479

Change-Point Detection under Dependence Based on Two-Sample U-Statistics

Herold Dehling·Roland Fried·Isabel García·Martin Wendler

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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.

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Herold Dehling, Roland Fried, Isabel García, Martin Wendler. 2013-04-09. Change-Point Detection under Dependence Based on Two-Sample U-Statistics. https://arxiv.org/abs/1304.2479

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