Regression-based, regression-free and model-free approaches for robust online scale estimation
Journal of Statistical Computation and Simulation , Volume 80 - Issue 9 p. 1023- 1040
This paper compares the 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 regression-free 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.
|real-time estimation, robustness, time series, variability, volatility|
|Journal of Statistical Computation and Simulation|
|Accepted manuscript, First Published on: 23 October 2009|
|Organisation||Erasmus Research Institute of Management|
Schettlinger, K, Gelper, S.E.C, Gather, U, & Croux, C. (2010). Regression-based, regression-free and model-free approaches for robust online scale estimation. Journal of Statistical Computation and Simulation, 80(9), 1023–1040. doi:10.1080/00949650902911565