Asymptotic distribution of some robust and non-parametric change-point tests for time series

Herold Dehling (Ruhr-Universität Bochum)
Wednesday, January 13, 2016 - 10:00am
WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin

In my talk, I will present recent results on the asymptotic distribution of some robust and non-parametric test statistics for the detection of change-points in time series. This leads to the study of two-sample U-processes, empirical U-processes, and two-sample U-quantiles.We will present limit theorems for these processes, both in the case of short range as well as long range dependent data.
(Joint work with Roland Fried, Martin Wendler, Murad Taqqu, Aeneas Rooch, and Isabel Garcia)