On the robust detection of edges in time series filtering

DOI10.1016/j.csda.2007.06.011zbMath1452.62695OpenAlexW2089422510MaRDI QIDQ1020908

Roland Fried

Publication date: 2 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2003/24436

zbMATH Keywords

outliersjumpstest resistancetime series filtering

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Robustness and adaptive procedures (parametric inference) (62F35)

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Robust control charts for the mean of a locally linear time series ⋮ Generalized methods and solvers for noise removal from piecewise constant signals. I. Background theory ⋮ Online signal extraction by robust regression in moving windows with data-adaptive width selection: SCARM -- Slope Comparing Adaptive Repeated Median ⋮ Control charts for the mean based on robust two-sample tests ⋮ Online analysis of time series by the \(Q_n\) estimator ⋮ Robust nonparametric tests for the two-sample location problem ⋮ On the online estimation of local constant volatilities ⋮ Real‐time signal processing by adaptive repeated median filters ⋮ Editorial: 2nd special issue on statistical signal extraction and filtering

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