On rank tests for shift detection in time series

Robustified rank tests, applying a robust scale estimator, are investigated for reliable and fast shift detection in time series. The tests show good power for sufficiently large shifts, low false detection rates for Gaussian noise and high robustness against outliers. Wilcoxon scores in combination with a robust and efficient scale estimator achieve good performance in many situations.

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Year of publication:	2006
Authors:	Fried, Roland ; Gather, Ursula
Publisher:	Dortmund : Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Subject:	signal extraction \| jumps \| outliers \| test resistance

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Series:	Technical Report ; 2006,48
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	534704638 [GVK] hdl:10419/22692 [Handle] RePEc:zbw:sfb475:200648 [RePEc]
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010296763