IDEAS home Printed from https://ideas.repec.org/p/zbw/sfb475/200554.html
   My bibliography  Save this paper

Robust detail-preserving signal extraction

Author

Listed:
  • Gather, Ursula
  • Fried, Roland
  • Lanius, Vivian

Abstract

We discuss robust filtering procedures for signal extraction from noisy time series. Particular attention is paid to the preservation of relevant signal details like abrupt shifts. moving averages and running medians are widely used but have shortcomings when large spikes (outliers) or trends occur. Modifications like modified trimmed means and linear median hybrid filters combine advantages of both approaches, but they do not completely overcome the difficulties. Better solutions can be based on robust regression techniques, which even work in real time because of increased computational power and faster algorithms. Reviewing previous work we present filters for robust signal extraction and discuss their merits for preserving trends, abrupt shifts and local extremes as well as for the removal of outliers.

Suggested Citation

  • Gather, Ursula & Fried, Roland & Lanius, Vivian, 2005. "Robust detail-preserving signal extraction," Technical Reports 2005,54, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  • Handle: RePEc:zbw:sfb475:200554
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/36590/1/60006932X.PDF
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Struyf, Anja J. & Rousseeuw, Peter J., 1999. "Halfspace Depth and Regression Depth Characterize the Empirical Distribution," Journal of Multivariate Analysis, Elsevier, vol. 69(1), pages 135-153, April.
    2. Gather, Ursula & Einbeck, Jochen & Fried, Roland, 2005. "Weighted Repeated Median Smoothing and Filtering," Technical Reports 2005,33, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    3. Fried, Roland & Gather, Ursula, 2004. "Methods and algorithms for robust filtering," Technical Reports 2004,44, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    4. Saleem A. Kassam, 1982. "Robust Hypothesis Testing and Robust Time Series Interpolation And Regression," Journal of Time Series Analysis, Wiley Blackwell, vol. 3(3), pages 185-194, May.
    5. Bernholt, Thorsten & Fried, Roland & Gather, Ursula & Wegner, Ingo, 2004. "Modified repeated median filters," Technical Reports 2004,46, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Schettlinger, Karen & Fried, Roland & Gather, Ursula, 2006. "Robust Filters for Intensive Care Monitoring: Beyond the Running Median," Technical Reports 2006,23, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    2. Lanius, Vivian & Gather, Ursula, 2007. "Robust online signal extraction from multivariate time series," Technical Reports 2007,38, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    3. Mia Hubert & Peter Rousseeuw & Pieter Segaert, 2015. "Multivariate functional outlier detection," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 24(2), pages 177-202, July.
    4. Stanislav Nagy, 2021. "Halfspace depth does not characterize probability distributions," Statistical Papers, Springer, vol. 62(3), pages 1135-1139, June.
    5. Yi He & John H. J. Einmahl, 2017. "Estimation of extreme depth-based quantile regions," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(2), pages 449-461, March.
    6. Jonas Baillien & Irène Gijbels & Anneleen Verhasselt, 2023. "Flexible asymmetric multivariate distributions based on two-piece univariate distributions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 75(1), pages 159-200, February.
    7. Martina Čampulová, 2018. "Comparison of Methods for Smoothing Environmental Data with an Application to Particulate Matter PM10," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 66(2), pages 453-463.
    8. Xiaohui Liu & Karl Mosler & Pavlo Mozharovskyi, 2017. "Fast computation of Tukey trimmed regions and median in dimension p > 2," Working Papers 2017-71, Center for Research in Economics and Statistics.
    9. Hassairi, Abdelhamid & Regaieg, Ons, 2008. "On the Tukey depth of a continuous probability distribution," Statistics & Probability Letters, Elsevier, vol. 78(15), pages 2308-2313, October.
    10. Christmann, Andreas & Steinwart, Ingo & Hubert, Mia, 2006. "Robust Learning from Bites for Data Mining," Technical Reports 2006,03, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    11. Christmann, Andreas & Steinwart, Ingo, 2003. "On robustness properties of convex risk minimization methods for pattern recognition," Technical Reports 2003,15, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    12. Christmann, Andreas, 2004. "Regression depth and support vector machine," Technical Reports 2004,54, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    13. Petra Laketa & Stanislav Nagy, 2022. "Halfspace depth for general measures: the ray basis theorem and its consequences," Statistical Papers, Springer, vol. 63(3), pages 849-883, June.
    14. Kong, Linglong & Zuo, Yijun, 2010. "Smooth depth contours characterize the underlying distribution," Journal of Multivariate Analysis, Elsevier, vol. 101(9), pages 2222-2226, October.
    15. Lanius, Vivian & Gather, Ursula, 2010. "Robust online signal extraction from multivariate time series," Computational Statistics & Data Analysis, Elsevier, vol. 54(4), pages 966-975, April.
    16. Koshevoy, Gleb A., 2002. "The Tukey Depth Characterizes the Atomic Measure," Journal of Multivariate Analysis, Elsevier, vol. 83(2), pages 360-364, November.
    17. Fried, Roland & Gather, Ursula, 2004. "Methods and algorithms for robust filtering," Technical Reports 2004,44, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    18. Wei, Bei & Lee, Stephen M.S., 2012. "Second-order accuracy of depth-based bootstrap confidence regions," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 112-123.
    19. Gather, Ursula & Davies, P. Laurie, 2004. "Robust Statistics," Papers 2004,20, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
    20. Bernholt, Thorsten & Nunkesser, Robin & Schettlinger, Karen, 2005. "Computing the Least Quartile Difference Estimator in the Plane," Technical Reports 2005,51, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:sfb475:200554. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/isdorde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.