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Serial rank statistics for detection of changes

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  • Husková, M.

Abstract

A class of ranks based test statistics for testing hypothesis of randomness (observations are independent and identically distributed) against the alternative that the observations become dependent at some unknown time point is introduced and its limit properties are studied. The considered problem belongs to the area of the change-point analysis.

Suggested Citation

  • Husková, M., 2003. "Serial rank statistics for detection of changes," Statistics & Probability Letters, Elsevier, vol. 61(2), pages 199-213, January.
    • Handle: RePEc:eee:stapro:v:61:y:2003:i:2:p:199-213
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    References listed on IDEAS

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    1. Horváth, Lajos, 2001. "Change-Point Detection in Long-Memory Processes," Journal of Multivariate Analysis, Elsevier, vol. 78(2), pages 218-234, August.
    2. Marc. Hallin & Jean‐François Ingenbleek & Madan L. Puri, 1987. "Linear And Quadratic Serial Rank Tests For Randomness Against Serial Dependence," Journal of Time Series Analysis, Wiley Blackwell, vol. 8(4), pages 409-424, July.
    3. Marc Hallin & Madan Lal Puri, 1992. "Rank tests for time-series analysis: a survey," ULB Institutional Repository 2013/2229, ULB -- Universite Libre de Bruxelles.
    4. Husková, M., 1997. "Limit theorems for rank statistics," Statistics & Probability Letters, Elsevier, vol. 32(1), pages 45-55, February.
    5. Marc Hallin & Bas Werker, 1998. "Optimal testing for semiparametric autoregressive models: from Gaussian Lagrange multipliers to regression rank scores and adaptive tests," ULB Institutional Repository 2013/2219, ULB -- Universite Libre de Bruxelles.
    6. Jushan Bai, 1993. "On The Partial Sums Of Residuals In Autoregressive And Moving Average Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 14(3), pages 247-260, May.
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