论文标题
基于加权的两样本U统计数据的更改点检测
Change-point detection based on weighted two-sample U-statistics
论文作者
论文摘要
在短期依赖数据的情况下，我们根据加权的两样本U统计量研究了更改点测试的大样本行为。在某些温和的混合条件下，我们建立了测试统计量与极值分布的收敛性。一项仿真研究表明，当更改点发生在时间间隔的边界附近时，加权测试优于非加权版本，而它们则在中心中散开功率。
We investigate the large-sample behavior of change-point tests based on weighted two-sample U-statistics, in the case of short-range dependent data. Under some mild mixing conditions, we establish convergence of the test statistic to an extreme value distribution. A simulation study shows that the weighted tests are superior to the non-weighted versions when the change-point occurs near the boundary of the time interval, while they loose power in the center.
