Data driven rank statistics in change point analysis

Mathematica Slovaca

Marie Hušková¹  Jaromír Antoch¹ 

关键词: data driven procedures;    rank statistics;    change point;   

DOI  :  10.2478/s12175-009-0147-y

学科分类：数学（综合）

来源: Slovenska Akademia Vied * Matematicky Ustav / Slovak Academy of Sciences, Mathematical Institute

【 摘 要 】

The paper deals a class of rank based procedures for detection of changes with adaptively chosen scores. This is a certain continuation of the paper Antoch et al (2008). The limit behavior of the test procedures is studied both under the null as well as under a general class of alternatives. Accompanying simulation study focuses on various alternatives which are often met in practice.

【 授权许可】

Unknown