Robust Wilcoxon‐Type Estimation of Change‐Point Location Under Short‐Range Dependence

DOI10.1111/jtsa.12268zbMath1416.62488arXiv1701.02271OpenAlexW2767646995MaRDI QIDQ4604008

Carina Gerstenberger

Publication date: 23 February 2018

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.02271

zbMATH Keywords

change-point estimatornear-epoch dependenceWilcoxon statistic

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric robustness (62G35) Point estimation (62F10)

Related Items (4)

Rank-based multiple change-point detection ⋮ Loss function-based change point detection in risk measures ⋮ Robust discrimination between long‐range dependence and a change in mean ⋮ Template matching with ranks

Cites Work

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• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Non‐Parametric Change‐Point Tests for Long‐Range Dependent Data
• A Class of Statistics with Asymptotically Normal Distribution

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