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On rank tests for shift detection in time series

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  • Fried, Roland
  • Gather, Ursula

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  • Fried, Roland & Gather, Ursula, 2007. "On rank tests for shift detection in time series," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 221-233, September.
    • Handle: RePEc:eee:csdana:v:52:y:2007:i:1:p:221-233
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    References listed on IDEAS

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    1. Lim, Dong Hoon, 2006. "Robust edge detection in noisy images," Computational Statistics & Data Analysis, Elsevier, vol. 50(3), pages 803-812, February.
    2. P.J. Rousseeuw & A.M. Leroy, 1988. "A robust scale estimator based on the shortest half," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 42(2), pages 103-116, June.
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    Cited by:

    1. Fried, Roland, 2012. "On the online estimation of local constant volatilities," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3080-3090.
    2. Pastor, Dominique, 2008. "A theoretical result for processing signals that have unknown distributions and priors in white Gaussian noise," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3167-3186, February.
    3. Boudt, Kris & Cornelissen, Jonathan & Croux, Christophe, 2012. "Jump robust daily covariance estimation by disentangling variance and correlation components," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 2993-3005.
    4. Fried, Roland, 2008. "Robust shift detection in time-varying autoregressive processes," Technical Reports 2008,01, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    5. Fried, Roland, 2007. "On the robust detection of edges in time series filtering," Technical Reports 2007,20, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    6. Rousseeuw, Peter & Perrotta, Domenico & Riani, Marco & Hubert, Mia, 2019. "Robust Monitoring of Time Series with Application to Fraud Detection," Econometrics and Statistics, Elsevier, vol. 9(C), pages 108-121.

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