Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
416603 | Computational Statistics & Data Analysis | 2007 | 13 Pages |
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.
Keywords
Related Topics
Physical Sciences and Engineering
Computer Science
Computational Theory and Mathematics
Authors
Roland Fried, Ursula Gather,