Studentized U-quantile processes under dependence with applications to change-point analysis
Abstract
Many popular robust estimators are -quantiles, most notably the Hodges-Lehmann location estimator and the scale estimator. We prove a functional central limit theorem for the sequential -quantile process without any moment assumptions and under weak short-range dependence conditions. We further devise an estimator for the long-run variance and show its consistency, from which the convergence of the studentized version of the sequential -quantile process to a standard Brownian motion follows. This result can be used to construct CUSUM-type change-point tests based on -quantiles, which do not rely on bootstrapping procedures. We demonstrate this approach in detail at the example of the Hodges-Lehmann estimator for robustly detecting changes in the central location. A simulation study confirms the very good robustness and efficiency properties of the test. Two real-life data sets are analyzed.
Cite
@article{arxiv.1503.04161,
title = {Studentized U-quantile processes under dependence with applications to change-point analysis},
author = {Daniel Vogel and Martin Wendler},
journal= {arXiv preprint arXiv:1503.04161},
year = {2022}
}