Dehling, Herold and Vuk, Kata and Wendler, Martin (2024) Power of weighted test statistics for structural change in time series. ELECTRONIC JOURNAL OF STATISTICS, 18 (1). pp. 2208-2240. ISSN 1935-7524
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We investigate the power of some common change -point tests as a function of the location of the change -point. The test statistics are maxima of weighted U -statistics, with the CUSUM test and the Wilcoxon changepoint test as special examples. We study the power under local alternatives, where we vary both the change-point's location and the magnitude of the change. We quantify in which way weighted versions of the tests exhibit greater power when the change occurs near the beginning or the end of the time interval, while losing power against changes located in the center.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | CHANGE-POINT TESTS; Weighted change-point tests; power of tests; U-statistics; local alternatives |
| Subjects: | 000 Computer science, information & general works > 004 Computer science |
| Divisions: | Informatics and Data Science > Department Machine Learning & Data Science > Lehrstuhl für Maschinelles Lernen (Prof. Dr. Merle Behr) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 02 Dec 2025 08:07 |
| Last Modified: | 02 Dec 2025 08:07 |
| URI: | https://pred.uni-regensburg.de/id/eprint/64494 |
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