We present a robust test for change-points in time series which is based on the two-sample Hodges-Lehmann estimator. We develop new limit theory for a class of statistics based on the two-sample U-quantile processes, in the case of short range dependent observations. Using this theory we can derive the asymptotic distribution of our test statistic under the null hypothesis. We study the finite sample properties of our test via a simulation study and compare the test with the classical CUSUM test and a test based on the Wilcoxon-Mann-Whitney statistic.

中文翻译：

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一种鲁棒的时间序列位移检测方法

我们提出了一个基于两样本 Hodges-Lehmann 估计量的时间序列变化点的稳健测试。在短程相关观测的情况下，我们为基于双样本 U 分位数过程的一类统计开发了新的极限理论。使用这个理论，我们可以在原假设下推导出我们的检验统计量的渐近分布。我们通过模拟研究来研究我们测试的有限样本特性，并将该测试与经典 CUSUM 测试和基于 Wilcoxon-Mann-Whitney 统计的测试进行比较。