2020
DOI: 10.1093/biomet/asaa004
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A robust method for shift detection in time series

Abstract: We present a robust test for a change-point in time series which is based on the two-sample Hodges-Lehmann estimator. We develop new limit theory for a class of statistics based on two-sample U-quantile processes, in the case of short range dependent observations. Using this theory we derive the asymptotic distribution of our test statistic under the null hypothesis of a constant level. The proposed test shows better overall performance under normal, heavy-tailed and skewed distributions than several other mod… Show more

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Cited by 17 publications
(10 citation statements)
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“…Differences in prediction performances, including loss (Val), Acc (Val), BAC, F, AUC, Acc (Test), and MCC were analyzed by the Mann-Whitney U test (Chakraborty and Chaudhuri, 2014;Dehling et al, 2015;Dedecker and Saulière, 2017). Finding of corrected P (Pc) < 0.05 is significant based on corrections from multiple testing, such as the Bonferroni's method.…”
Section: Discussionmentioning
confidence: 99%
“…Differences in prediction performances, including loss (Val), Acc (Val), BAC, F, AUC, Acc (Test), and MCC were analyzed by the Mann-Whitney U test (Chakraborty and Chaudhuri, 2014;Dehling et al, 2015;Dedecker and Saulière, 2017). Finding of corrected P (Pc) < 0.05 is significant based on corrections from multiple testing, such as the Bonferroni's method.…”
Section: Discussionmentioning
confidence: 99%
“…Differences in prediction performances in terms of the parameter loss (Val), Acc (Val), BAC, F, AUC, Acc (Test), and MCC were analyzed using the Mann-Whitney U test [79][80][81]. For each of the 10 angles (38,38,38), (42,42,42), (50,50,50), (55,55,55), (65,65,65), (85, 85, 85), (105, 105, 105), (176, 176, 176), (300, 300, 300), and (360, 360, 360) in the two datasets Tra/Val/Test = 1:1:1 and 2:2:2, seven evaluation indicators of loss (Val), Acc (Val), BAC, F, AUC, Acc (Test), and MCC are represented as box plots.…”
Section: Discussionmentioning
confidence: 99%
“…, k q have to be estimated. Since methodologies to detect change points in the context of independent random variables cannot be applied directly in time series [22,23], parametric, nonparametric, and Bayesian methodologies have also been developed [12,16,[24][25][26][27][28][29][30][31].…”
Section: Parametric Methodologies For Detecting Change Pointsmentioning
confidence: 99%