Change-point detection based on weighted two-sample U-statistics
Statistics Theory
2023-04-04 v3 Probability
Statistics Theory
Abstract
We investigate the large-sample behavior of change-point tests based on weighted two-sample U-statistics, in the case of short-range dependent data. Under some mild mixing conditions, we establish convergence of the test statistic to an extreme value distribution. A simulation study shows that the weighted tests are superior to the non-weighted versions when the change-point occurs near the boundary of the time interval, while they loose power in the center.
Cite
@article{arxiv.2003.12573,
title = {Change-point detection based on weighted two-sample U-statistics},
author = {Herold Dehling and Kata Vuk and Martin Wendler},
journal= {arXiv preprint arXiv:2003.12573},
year = {2023}
}