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arXiv · 2003.12573

Change-point detection based on weighted two-sample U-statistics

Herold Dehling·Kata Vuk·Martin Wendler
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Abstract

We investigate the large-sample behavior of change-point tests based on weighted two-sample U-statistics, in the case of short-range dependent data. Under some mild mixing conditions, we establish convergence of the test statistic to an extreme value distribution. A simulation study shows that the weighted tests are superior to the non-weighted versions when the change-point occurs near the boundary of the time interval, while they loose power in the center.

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Herold Dehling, Kata Vuk, Martin Wendler. 2020-03-27. Change-point detection based on weighted two-sample U-statistics. https://doi.org/10.1214/21-ejs1964

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