Resource title

On rank tests for shift detection in time series

Resource image

image for OpenScout resource :: On rank tests for shift detection in time series

Resource description

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.

Resource author

Roland Fried, Ursula Gather

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22692

Resource license

Adapt according to the presented license agreement and reference the original author.