Efficient and robust scale estimation for trended time series

D. Caliskan; C. Croux; S.E.C. Gelper

doi:10.1016/j.spl.2009.05.019

Efficient and robust scale estimation for trended time series

D. Caliskan, C. Croux, S.E.C. Gelper

Onderzoeksoutput: Bijdrage aan tijdschrift › Tijdschriftartikel › Academic › peer review

2 Citaten (Scopus)

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Samenvatting

This paper presents a new method for robust online variability extraction in time series. The proposed estimator is simultaneously highly robust and efficient. We derive its breakdown point, influence function, and asymptotic variance and study the finite sample properties in a simulation study.

Originele taal-2	Engels
Pagina's (van-tot)	1900-1905
Aantal pagina's	6
Tijdschrift	Statistics and Probability Letters
Volume	79
Nummer van het tijdschrift	18
DOI's	https://doi.org/10.1016/j.spl.2009.05.019
Status	Gepubliceerd - 2009
Extern gepubliceerd	Ja

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10.1016/j.spl.2009.05.019

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Efficient and robust scale estimation for trended time series

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