Related papers: Power of Change-Point Tests for Long-Range Depende…
We investigate the power of some common change-point tests as a function of the location of the change-point. The test statistics are maxima of weighted U-statistics, with the CUSUM test and the Wilcoxon change-point test as special…
In this paper we introduce a robust to outliers Wilcoxon change-point testing procedure, for distinguishing between short-range dependent time series with a change in mean at unknown time and stationary long-range dependent time series. We…
In this paper, change-point problems for long memory stochastic volatility models are considered. A general testing problem which includes various alternative hypotheses is discussed. Under the hypothesis of stationarity the limiting…
We consider the change-point problem for the marginal distribution of subordinated Gaussian processes that exhibit long-range dependence. The asymptotic distributions of Kolmogorov-Smirnov- and Cram\'{e}r-von Mises type statistics are…
We introduce a robust estimator of the location parameter for the change-point in the mean based on the Wilcoxon statistic and establish its consistency for $L_1$ near epoch dependent processes. It is shown that the consistency rate depends…
We propose a general framework of sequential testing procedures based on $U$-statistics which contains as an example a sequential CUSUM test based on differences in mean but also includes a robust sequential Wilcoxon change point procedure.…
We propose new tests to detect a change in the mean of a time series. Like many existing tests, the new ones are based on the CUSUM process. Existing CUSUM tests require an estimator of a scale parameter to make them asymptotically…
Change point tests for abrupt changes in the mean of functional data, i.e., random elements in infinite-dimensional Hilbert spaces, are either based on dimension reduction techniques, e.g., based on principal components, or directly based…
In this paper, we study change-point testing for high-dimensional linear models, an important problem that has not been well explored in the literature. Specifically, we propose a quadratic-form cumulative sum (CUSUM) statistic to test the…
Classical moment based change point tests like the cusum test are very powerful in case of Gaussian time series with one change point but behave poorly under heavy tailed distributions and corrupted data. A new class of robust change point…
In this paper easily applicable techniques are devised for detecting changepoints in autocorrelated Gaussian sequences. Our method proceeds by sequential evaluation of a CUSUM-type test statistic, which is compared to a predefined…
We study the detection of change-points in time series. The classical CUSUM statistic for detection of jumps in the mean is known to be sensitive to outliers. We thus propose a robust test based on the Wilcoxon two-sample test statistic.…
The aim of this paper is to develop a change-point test for functional time series that uses the full functional information and is less sensitive to outliers compared to the classical CUSUM test. For this aim, the Wilcoxon two-sample test…
High-dimensional changepoint inference, adaptable to diverse alternative scenarios, has attracted significant attention in recent years. In this paper, we propose an adaptive and robust approach to changepoint testing. Specifically, by…
We consider change-point tests based on rank statistics to test for structural changes in long-range dependent observations. Under the hypothesis of stationary time series and under the assumption of a change with decreasing change-point…
We develop a testing procedure for distinguishing between a long-range dependent time series and a weakly dependent time series with change-points in the mean. In the simplest case, under the null hypothesis the time series is weakly…
The q-weighted CUSUM and their corresponding estimator are well known statistics for change-point detection and estimation. They have the difficulty that the performance is highly dependent on the location of the change. An adaptive…
We propose a testing procedure based on the Wilcoxon two-sample test statistic in order to test for change-points in the mean of long-range dependent data. We show that the corresponding self-normalized test statistic converges in…
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…
We consider an estimator for the location of a shift in the mean of long-range dependent sequences. The estimation is based on the two-sample Wilcoxon statistic. Consistency and the rate of convergence for the estimated change point are…