2009-09-15
Efficient and robust scale estimation for trended time series
Publication
Publication
Statistics & Probability Letters , Volume 79 - Issue 18 p. 1900- 1905
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.
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| doi.org/10.1016/j.spl.2009.05.019, hdl.handle.net/1765/16997 | |
| Statistics & Probability Letters | |
| Organisation | Erasmus Research Institute of Management |
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Caliskan, D., Croux, C., & Gelper, S. (2009). Efficient and robust scale estimation for trended time series. Statistics & Probability Letters, 79(18), 1900–1905. doi:10.1016/j.spl.2009.05.019 |
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