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- W2578303251 abstract "We introduce a robust estimator of the location parameter for the change-point in the mean based on the Wilcoxon statistic and establish its consistency for $L_1$ near epoch dependent processes. It is shown that the consistency rate depends on the magnitude of change. A simulation study is performed to evaluate finite sample properties of the Wilcoxon-type estimator in standard cases, as well as under heavy-tailed distributions and disturbances by outliers, and to compare it with a CUSUM-type estimator. It shows that the Wilcoxon-type estimator is equivalent to the CUSUM-type estimator in standard cases, but outperforms the CUSUM-type estimator in presence of heavy tails or outliers in the data." @default.
- W2578303251 created "2017-01-26" @default.
- W2578303251 creator A5081673400 @default.
- W2578303251 date "2017-01-09" @default.
- W2578303251 modified "2023-09-27" @default.
- W2578303251 title "Robust estimation of change-point location" @default.
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- W2578303251 doi "https://doi.org/10.17877/de290r-17776" @default.
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