Studentized U-quantile processes under dependence with applications to change-point analysis

preprint2016arXivOpen access

Abstract

Many popular robust estimators are UU-quantiles, most notably the Hodges-Lehmann location estimator and the QnQ_n scale estimator. We prove a functional central limit theorem for the sequential UU-quantile process without any moment assumptions and under weak short-range dependence conditions. We further devise an estimator for the long-run variance and show its consistency, from which the convergence of the studentized version of the sequential UU-quantile process to a standard Brownian motion follows. This result can be used to construct CUSUM-type change-point tests based on UU-quantiles, which do not rely on bootstrapping procedures. We demonstrate this approach in detail at the example of the Hodges-Lehmann estimator for robustly detecting changes in the central location. A simulation study confirms the very good robustness and efficiency properties of the test. Two real-life data sets are analyzed.

Explore this paper’s authors, topics and related work.

Building this map preview

BZPEER is loading the nearby papers, people, topics and institutions for this page.

Reviews 0

Write a reviewWrite

No reviews yet.

Discussion 0

Add a commentWrite

No comments yet.