Robust online scale estimation in time series: a model-free approach

DOI10.1016/j.jspi.2008.04.018zbMath1149.62075OpenAlexW1976627067MaRDI QIDQ958791

Christophe Croux, Karen Schettlinger, Sarah Gelper, Ursula Gather

Publication date: 8 December 2008

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://lirias.kuleuven.be/handle/123456789/201358

zbMATH Keywords

outliersinfluence functionbreakdown pointonline monitoringrobust scale estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (12)

Efficient and robust scale estimation for trended time series ⋮ On- and offline detection of structural breaks in thermal spraying processes ⋮ Online signal extraction by robust regression in moving windows with data-adaptive width selection: SCARM -- Slope Comparing Adaptive Repeated Median ⋮ Robust exponential smoothing of multivariate time series ⋮ Regression-based, regression-free and model-free approaches for robust online scale estimation ⋮ Robust online scale estimation in time series: a model-free approach ⋮ Online analysis of time series by the \(Q_n\) estimator ⋮ Estimation of scale functions to model heteroscedasticity by regularised kernel-based quantile methods ⋮ Real‐time signal processing by adaptive repeated median filters ⋮ On a robust local estimator for the scale function in heteroscedastic nonparametric regression ⋮ Robust scale estimation under shifts in the mean ⋮ Robust online-surveillance of trend-coherence in multivariate data streams: the similar trend monitoring (STM) procedure

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• M-Smoother with local Linear Fit

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