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On rank tests for shift detection in time series

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  • Fried, Roland
  • Gather, Ursula

Abstract

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.

Suggested Citation

  • Fried, Roland & Gather, Ursula, 2006. "On rank tests for shift detection in time series," Technical Reports 2006,48, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    • Handle: RePEc:zbw:sfb475:200648
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    References listed on IDEAS

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