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
Institutions:	Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
Subject:	signal extraction \| jumps \| outliers \| test resistance

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Extent:	application/pdf
Series:	Technical Reports.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2006,48
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009219834