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Online analysis of time series by the Qn estimator

Author

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  • Nunkesser, Robin
  • Fried, Roland
  • Schettlinger, Karen
  • Gather, Ursula

Abstract

A fast update algorithm for online calculation of the Qn scale estimator is presented. This algorithm allows robust analysis of high-frequency time series in real time. It provides reliable estimates of a time-varying volatility even if many large outliers are present and it offers good efficiency in the case of clean Gaussian data.

Suggested Citation

  • Nunkesser, Robin & Fried, Roland & Schettlinger, Karen & Gather, Ursula, 2009. "Online analysis of time series by the Qn estimator," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2354-2362, April.
    • Handle: RePEc:eee:csdana:v:53:y:2009:i:6:p:2354-2362
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    References listed on IDEAS

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    1. Brownlees, C.T. & Gallo, G.M., 2006. "Financial econometric analysis at ultra-high frequency: Data handling concerns," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2232-2245, December.
    2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    3. Yanyuan Ma & Marc G. Genton, 2000. "Highly Robust Estimation of the Autocovariance Function," Journal of Time Series Analysis, Wiley Blackwell, vol. 21(6), pages 663-684, November.
    4. Gelper, Sarah & Schettlinger, Karen & Croux, Christophe & Gather, Ursula, 2007. "Robust online scale estimation in time series : regression-free approach," Technical Reports 2007,17, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
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    Cited by:

    1. Croux, Christophe & Gelper, Sarah & Mahieu, Koen, 2010. "Robust exponential smoothing of multivariate time series," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 2999-3006, December.
    2. Caliskan, Derya & Croux, Christophe & Gelper, Sarah, 2009. "Efficient and robust scale estimation for trended time series," Statistics & Probability Letters, Elsevier, vol. 79(18), pages 1900-1905, September.

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