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The Sensitivity Of A Test Based On Spearman's Rho In Cross-Correlation Change Point Problems, Congjian Liu
The Sensitivity Of A Test Based On Spearman's Rho In Cross-Correlation Change Point Problems, Congjian Liu
Electronic Theses and Dissertations
In change point problems, there are three main questions that researchers are interested in. First of all, is there a change point or not? Second, when does the change point occur in a time series? Third, how quickly can we detect the change point? In this thesis, we first explain what a change point is, and what a cross-correlation is. We then discuss prior research in this area. Then we discuss and examine a test based on Spearman's rho, introduced by Wied and Dehling (2011), which tests the null hypothesis of no change point, and compare the change point we …