45 citations · 151 across the 23 of their papers we have counts for
17 papers · 1 filter
Power of Weighted Test Statistics for Structural Change in Time Series
Herold Dehling, Kata Vuk, Martin Wendler
We investigate the power of some common change-point tests as a function of the location of the change-point. The test statistics are maxima of weighted U-statistics, with the CUSU…
A Bootstrap Test for Independence of Time Series Based on the Distance Covariance
Annika Betken, Herold Dehling, Marius Kroll
We present a test for independence of two strictly stationary time series based on a bootstrap procedure for the distance covariance. Our test detects any kind of dependence betwee…
Test for independence of long-range dependent time series using distance covariance
Annika Betken, Herold Dehling
We apply the concept of distance covariance for testing independence of two long-range dependent time series. As test statistic we propose a linear combination of empirical distanc…
Ordinal pattern dependence as a multivariate dependence measure
Annika Betken, Herold Dehling, Nüßgen +1
In this article, we show that the recently introduced ordinal pattern dependence fits into the axiomatic framework of general multivariate dependence measures, i.e., measures of de…
Change-point detection based on weighted two-sample U-statistics
Herold Dehling, Kata Vuk, Martin Wendler
We investigate the large-sample behavior of change-point tests based on weighted two-sample U-statistics, in the case of short-range dependent data. Under some mild mixing conditio…
An Asymptotic Test for Constancy of the Variance under Short-Range Dependence
Sara Kristin Schmidt, Max Wornowizki, Roland Fried +1
We present a novel approach to test for heteroscedasticity of a non-stationary time series that is based on Gini's mean difference of logarithmic local sample variances. In order t…