Arbeitspapier
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.
- Language
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Englisch
- Bibliographic citation
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Series: Technical Report ; No. 2006,48
- Subject
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signal extraction
jumps
outliers
test resistance
- Event
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Geistige Schöpfung
- (who)
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Fried, Roland
Gather, Ursula
- Event
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Veröffentlichung
- (who)
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Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
- (where)
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Dortmund
- (when)
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2006
- Handle
- Last update
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10.03.2025, 11:45 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Fried, Roland
- Gather, Ursula
- Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Time of origin
- 2006
Other Objects (12)
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A robust method for shift detection in time series
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Robust shift detection in time-varying autoregressive processes
Robust shift detection in time-varying autoregressive processes
Rank tests for nonlinear cointegration
Rank Tests for Unit Roots
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Ranks and Pseudo‐ranks—Surprising Results of Certain Rank Tests in Unbalanced Designs
Mean shift detection under long-range dependencies with ART
On rank tests for shift detection in time series
A robust method for shift detection in time series
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift
Comparison of tests for the cointegrating rank of a VAR process with a structural shift
Robust shift detection in time-varying autoregressive processes
Robust shift detection in time-varying autoregressive processes
Rank tests for nonlinear cointegration
Rank Tests for Unit Roots
Rank tests for unit roots
Rank tests for nonlinear cointegration
Ranks and Pseudo‐ranks—Surprising Results of Certain Rank Tests in Unbalanced Designs
Mean shift detection under long-range dependencies with ART
On rank tests for shift detection in time series
A robust method for shift detection in time series
Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift
Comparison of tests for the cointegrating rank of a VAR process with a structural shift
Robust shift detection in time-varying autoregressive processes
Robust shift detection in time-varying autoregressive processes
Rank tests for nonlinear cointegration
Rank Tests for Unit Roots
Rank tests for unit roots
Rank tests for nonlinear cointegration
Ranks and Pseudo‐ranks—Surprising Results of Certain Rank Tests in Unbalanced Designs