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Efficient and robust scale estimation for trended time series

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  • Caliskan, Derya
  • Croux, Christophe
  • Gelper, Sarah

Abstract

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.

Suggested Citation

  • 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.
  • Handle: RePEc:eee:stapro:v:79:y:2009:i:18:p:1900-1905
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    References listed on IDEAS

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    1. Genton, Marc G., 1998. "Asymptotic variance of M-estimators for dependent Gaussian random variables," Statistics & Probability Letters, Elsevier, vol. 38(3), pages 255-261, June.
    2. Rousseeuw, Peter J. & Hubert, Mia, 1996. "Regression-free and robust estimation of scale for bivariate data," Computational Statistics & Data Analysis, Elsevier, vol. 21(1), pages 67-85, January.
    3. 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.
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    Cited by:

    1. Boente, Graciela & Ruiz, Marcelo & Zamar, Ruben H., 2010. "On a robust local estimator for the scale function in heteroscedastic nonparametric regression," Statistics & Probability Letters, Elsevier, vol. 80(15-16), pages 1185-1195, August.

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