Efficient and robust scale estimation for trended time series

Caliskan D., Croux C., Gelper S.

STATISTICS & PROBABILITY LETTERS, cilt.79, sa.18, ss.1900-1905, 2009 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 79 Sayı: 18
  • Basım Tarihi: 2009
  • Doi Numarası: 10.1016/j.spl.2009.05.019
  • Dergi Adı: STATISTICS & PROBABILITY LETTERS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.1900-1905
  • Hacettepe Üniversitesi Adresli: Evet

Özet

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. (C) 2009 Elsevier B.V. All rights reserved.