Regression-based, regression-free and model-free approaches for robust online scale estimation

K. Schettlinger, S.E.C. Gelper, U. Gather, C. Croux

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Samenvatting

This paper compares the methods for variability extraction from a univariate time series in real time. The online scale estimation is achieved by applying a robust scale functional to a moving time window. Scale estimators based on the residuals of a preceding regression step are compared with regression-free and model-free techniques in a simulation study and in an application to a real time series. In the presence of level shifts or strong non-linear trends in the signal level, the model-free scale estimators perform especially well. However, the investigated regression-free and regression-based methods have higher breakdown points, they are applicable to data containing temporal correlations, and they are much more efficient.
Originele taal-2Engels
Pagina's (van-tot)1023-1040
TijdschriftJournal of Statistical Computation and Simulation
Volume80
Nummer van het tijdschrift9
DOI's
StatusGepubliceerd - 2010
Extern gepubliceerdJa

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