Studentized U-quantile processes under dependence with applications to change-point analysis

Abstract

Many popular robust estimators are $U$-quantiles, most notably the Hodges–Lehmann location estimator and the $Q_{n}$ scale estimator. We prove a functional central limit theorem for the $U$-quantile process without any moment assumptions and under weak short-range dependence conditions. We further devise an estimator for the long-run variance and show its consistency, from which the convergence of the studentized version of the $U$-quantile process to a standard Brownian motion follows. This result can be used to construct CUSUM-type change-point tests based on $U$-quantiles, which do not rely on bootstrapping procedures. We demonstrate this approach in detail with the example of the Hodges–Lehmann estimator for robustly detecting changes in the central location. A simulation study confirms the very good efficiency and robustness properties of the test. Two real-life data sets are analyzed.