Efficient and robust scale estimation for trended time series


Caliskan D. , Croux C., Gelper S.

STATISTICS & PROBABILITY LETTERS, cilt.79, ss.1900-1905, 2009 (SCI İndekslerine Giren Dergi) identifier identifier

  • Cilt numarası: 79 Konu: 18
  • Basım Tarihi: 2009
  • Doi Numarası: 10.1016/j.spl.2009.05.019
  • Dergi Adı: STATISTICS & PROBABILITY LETTERS
  • Sayfa Sayıları: ss.1900-1905

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.