Račkauskas, Alfredas; Wendler, Martin - In: Statistical Papers 61 (2020) 4, pp. 1409-1435
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...