文章基本信息

标题：Change-point detection based on weighted two-sample U-statistics
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作者：Herold Dehling ; Kata Vuk ; Martin Wendler 等
期刊名称：Electronic Journal of Statistics
印刷版ISSN：1935-7524
出版年度：2022
卷号：16
期号：1
页码：862-891
DOI：10.1214/21-EJS1964
语种：English
出版社：Institute of Mathematical Statistics
摘要：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 distribution. A simulation study shows that the weighted tests are superior to the non-weighted versions when the change-point occurs near the boundary of the time interval, while they loose power in the center.
关键词：change-point tests;extreme value distribution;short-range dependence;U-statistics;Wilcoxon test