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Mathematica Slovaca

Editor-in-Chief: Pulmannová, Sylvia


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Volume 59, Issue 5

Issues

Data driven rank statistics in change point analysis

Jaromír Antoch / Marie Hušková
Published Online: 2009-10-27 | DOI: https://doi.org/10.2478/s12175-009-0147-y

Abstract

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.

MSC: Primary 62G10, 62E20

Keywords: data driven procedures; rank statistics; change point

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About the article

Published Online: 2009-10-27

Published in Print: 2009-10-01


Citation Information: Mathematica Slovaca, Volume 59, Issue 5, Pages 545–564, ISSN (Online) 1337-2211, ISSN (Print) 0139-9918, DOI: https://doi.org/10.2478/s12175-009-0147-y.

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© 2009 Versita Warsaw. This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License. BY-NC-ND 3.0

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