Efficient and robust scale estimation for trended time series

Caliskan D., Croux C., Gelper S.

STATISTICS & PROBABILITY LETTERS, vol.79, no.18, pp.1900-1905, 2009 (SCI-Expanded) identifier identifier

  • Publication Type: Article / Article
  • Volume: 79 Issue: 18
  • Publication Date: 2009
  • Doi Number: 10.1016/j.spl.2009.05.019
  • Journal Name: STATISTICS & PROBABILITY LETTERS
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Page Numbers: pp.1900-1905
  • Hacettepe University Affiliated: Yes

Abstract

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.