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Testing for change-points with rank and sign statistics

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  • Gombay, Edit

Abstract

Special tests are designed and their properties investigated for the change-point problem, when the alternative is of the epidemic or square-wave type. Rank statistics and sign statistics are used. The use of sign statistics leads to the study of the properties of the simple random walk.

Suggested Citation

  • Gombay, Edit, 1994. "Testing for change-points with rank and sign statistics," Statistics & Probability Letters, Elsevier, vol. 20(1), pages 49-55, May.
    • Handle: RePEc:eee:stapro:v:20:y:1994:i:1:p:49-55
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    Citations

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    Cited by:

    1. Venter, J. H. & Steel, S. J., 1996. "Finding multiple abrupt change points," Computational Statistics & Data Analysis, Elsevier, vol. 22(5), pages 481-504, September.
    2. Markevičiūtė, J., 2016. "Epidemic change tests for the mean of innovations of an AR(1) process," Statistics & Probability Letters, Elsevier, vol. 112(C), pages 79-91.
    3. Alfredas Račkauskas & Martin Wendler, 2020. "Convergence of U-processes in Hölder spaces with application to robust detection of a changed segment," Statistical Papers, Springer, vol. 61(4), pages 1409-1435, August.
    4. Jurgita Markevičiūtė & Alfredas Račkauskas & Charles Suquet, 2017. "Testing epidemic change in nearly nonstationary process with statistics based on residuals," Statistical Papers, Springer, vol. 58(3), pages 577-606, September.
    5. Tabacu, Lucia & Ledbetter, Mark, 2019. "Change-point analysis using logarithmic quantile estimation," Statistics & Probability Letters, Elsevier, vol. 150(C), pages 94-100.
    6. Lajos Horváth & Gregory Rice, 2014. "Extensions of some classical methods in change point analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 219-255, June.

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