Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/288585 
Erscheinungsjahr: 
2020
Quellenangabe: 
[Journal:] Statistical Papers [ISSN:] 1613-9798 [Volume:] 61 [Issue:] 4 [Publisher:] Springer [Place:] Berlin, Heidelberg [Year:] 2020 [Pages:] 1409-1435
Verlag: 
Springer, Berlin, Heidelberg
Zusammenfassung: 
To detect a changed segment (so called epidemic changes) in a time series, variants of the CUSUM statistic are frequently used. However, they are sensitive to outliers in the data and do not perform well for heavy tailed data, especially when short segments get a high weight in the test statistic. We will present a robust test statistic for epidemic changes based on the Wilcoxon statistic. To study their asymptotic behavior, we prove functional limit theorems for U-processes in Hölder spaces. We also study the finite sample behavior via simulations and apply the statistic to a real data example.
Schlagwörter: 
Wilcoxon statistic
Epidemic change
Functional central limit theorem
Hölder space
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