Robust Tests for Change-Points in Time Series
Wann
Donnerstag, 12. Juli 2018
15:15 bis 16:45 Uhr
Wo
F 426
Veranstaltet von
Prof. Dr. Jan Beran
Vortragende Person/Vortragende Personen:
Prof. Herold Dehling (Ruhr Universität Bochum)
Abstract: We will present some recent results on robust tests for change-points in time series, testing, e.g., for changes in location in univariate data and changes in the dependence structure of a bivariate time series. The tests are based on U-statistics and ranks. We will show how the asymptotic distribution of these test statistics can be derived.