Date:14 June 2019, Friday
Location:S16-06-118, DSAP Seminar Room
Time:03:00pm - 04:00pm
There are two different approaches in the context of change-point analysis. In the classical a-posteriori approach, a completely observed data set is available when starting the testing procedure. In sequential change-point analysis, we adapt tests for structural breaks after each observation while still controlling the type-1-error asymptotically. We propose a general framework of sequential testing procedures based on U-Statistics which, as an example, yields a robust sequential change-point procedure related to a Wilcoxon-type test statistic. The critical values can be obtained from the limit distribution derived under the null hypothesis and we show that the proposed tests have asymptotic power one.
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