Robust Wilcoxon‐Type Estimation of Change‐Point Location Under Short‐Range Dependence
提出一种基于Wilcoxon统计量的均值变化点位置稳健估计量，证明其在短程依赖过程中的相合性，模拟表明该估计量在重尾或异常值下优于CUSUM型估计量。
We introduce a robust estimator of the location parameter for the change‐point in the mean based on 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 the change. A simulation study is performed to evaluate the finite sample properties of the Wilcoxon‐type estimator under Gaussianity 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 under Gaussianity but outperforms it in the presence of heavy tails or outliers in the data.