{
  "id": "1701.02271",
  "version": "v1",
  "published": "2017-01-09T17:27:25.000Z",
  "updated": "2017-01-09T17:27:25.000Z",
  "title": "Robust Estimation of Change-Point Location",
  "authors": [
    "Carina Gerstenberger"
  ],
  "categories": [
    "math.ST",
    "stat.TH"
  ],
  "abstract": "We introduce a robust estimator of the location parameter for the change-point in the mean based on the Wilcoxon statistic and establish its consistency for $L_1$ near epoch dependent processes. It is shown that the consistency rate depends on the magnitude of change. A simulation study is performed to evaluate finite sample properties of the Wilcoxon-type estimator in standard cases, as well as under heavy-tailed distributions and disturbances by outliers, and to compare it with a CUSUM-type estimator. It shows that the Wilcoxon-type estimator is equivalent to the CUSUM-type estimator in standard cases, but outperforms the CUSUM-type estimator in presence of heavy tails or outliers in the data.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2017-01-09T17:27:25.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "robust estimation",
      "change-point location",
      "cusum-type estimator",
      "evaluate finite sample properties",
      "wilcoxon-type estimator"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}