Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/22692 
Year of Publication: 
2006
Series/Report no.: 
Technical Report No. 2006,48
Publisher: 
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen, Dortmund
Abstract: 
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.
Subjects: 
signal extraction
jumps
outliers
test resistance
Document Type: 
Working Paper

Files in This Item:
File
Size
214.08 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.