Zobrazeno 1 - 10
of 157
pro vyhledávání: '"Wendler, Martin"'
Change-points in functional time series can be detected using the CUSUM-statistic, which is a non-linear functional of the partial sum process. Various methods have been proposed to obtain critical values for this statistic. In this paper we use the
Externí odkaz:
http://arxiv.org/abs/2408.05071
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 examples. We stud
Externí odkaz:
http://arxiv.org/abs/2302.08795
Autor:
Wegner, Lea, Wendler, Martin
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 is general
Externí odkaz:
http://arxiv.org/abs/2206.01458
Autor:
Wegner, Lea, Wendler, Martin
Choi and Shin (2020) have constructed a bootstrap-based test for change-points in panels with temporal and and/or cross-sectional dependence. They have compared their test to several other proposed tests. We demonstrate that by an appropriate, data-a
Externí odkaz:
http://arxiv.org/abs/2103.11805
Autor:
Betken, Annika, Wendler, Martin
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 height, the
Externí odkaz:
http://arxiv.org/abs/2004.06574
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 extreme value
Externí odkaz:
http://arxiv.org/abs/2003.12573
Autor:
Račkauskas, Alfredas, Wendler, Martin
To detect a changed segment (so called epidemic changes) in a time series, variants of the CUSUM statistic are frequently used. However, they are sensitive to outliers in the data and do not perform well for heavy tailed data, especially when short s
Externí odkaz:
http://arxiv.org/abs/1908.10401
Autor:
Sharipov, Olimjon Sh., Wendler, Martin
For testing hypothesis on the covariance operator of functional time series, we suggest to use the full functional information and to avoid dimension reduction techniques. The limit distribution follows from the central limit theorem of the weak conv
Externí odkaz:
http://arxiv.org/abs/1904.06721
Autor:
Pešta, Michal, Wendler, Martin
Detecting abrupt changes in the mean of a time series, so-called changepoints, is important for many applications. However, many procedures rely on the estimation of nuisance parameters (like long-run variance). Under the alternative (a change in mea
Externí odkaz:
http://arxiv.org/abs/1808.01905
In this paper, we are interested in the asymptotic behaviour of the sequence of processes $(W_n(s,t))_{s,t\in[0,1]}$ with \begin{equation*} W_n(s,t):=\sum_{k=1}^{\lfloor nt\rfloor}\big(1_{\{\xi_{S_k}\leq s\}}-s\big) \end{equation*} where $(\xi_x, x\i
Externí odkaz:
http://arxiv.org/abs/1711.10202