Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22692
Authors: 
Fried, Roland
Gather, Ursula
Year of Publication: 
2006
Series/Report no.: 
Technical Report / Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen 2006,48
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

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