Serial rank statistics for detection of changes

M. Husková

Statistics & Probability Letters, 2003, vol. 61, issue 2, 199-213

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.

Keywords: Independence; AR-sequences; Change; point; detection; Serial; rank; statistics (search for similar items in EconPapers)
Date: 2003
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