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

Tijdschriftbijdrage - Tijdschriftartikel

This paper compares 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 regressionfree
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.
Tijdschrift: Journal of Statistical Computation & Simulation
ISSN: 0094-9655
Volume: 80
Pagina's: 1023-1040
Jaar van publicatie:2010
Trefwoorden:real-time estimation, robustness, time series
  • Scopus Id: 77955359573