Online analysis of time series by the \(Q_n\) estimator

DOI10.1016/j.csda.2008.02.027zbMath1453.62167OpenAlexW1965936071MaRDI QIDQ961429

Karen Schettlinger, Robin Nunkesser, Roland Fried, Ursula Gather

Publication date: 30 March 2010

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

Full work available at URL: https://doi.org/10.1016/j.csda.2008.02.027

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (6)

Efficient and robust scale estimation for trended time series ⋮ Robust exponential smoothing of multivariate time series ⋮ Regression-based, regression-free and model-free approaches for robust online scale estimation ⋮ Online analysis of time series by the \(Q_n\) estimator ⋮ On the online estimation of local constant volatilities ⋮ Real‐time signal processing by adaptive repeated median filters

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• Selecting the Kth Element in $X + Y$ and $X_1 + X_2 + \cdots + X_m $
• Alternatives to the Median Absolute Deviation

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