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Weighted Repeated Median Smoothing and Filtering

Author

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  • Gather, Ursula
  • Einbeck, Jochen
  • Fried, Roland

Abstract

We propose weighted repeated median filters and smoothers for robust non-parametric regression in general and for robust signal extraction from time series in particular. The proposed methods allow to remove outlying sequences and to preserve discontinuities (shifts) in the underlying regression function (the signal) in the presence of local linear trends. Suitable weighting of the observations according to their distances in the design space reduces the bias arising from non-linearities. It also allows to improve the efficiency of (unweighted) repeated median filters using larger bandwidths, keeping their properties for distinguishing between outlier sequences and long-term shifts. Robust smoothers based on weighted L1- regression are included for the reason of comparison.

Suggested Citation

  • 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.
    • Handle: RePEc:zbw:sfb475:200533
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    References listed on IDEAS

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    1. Ursula Gather & Karen Schettlinger & Roland Fried, 2006. "Online signal extraction by robust linear regression," Computational Statistics, Springer, vol. 21(1), pages 33-51, March.
    2. Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521845731, August.
    3. He, Xuming, et al, 1990. "Tail Behavior of Regression Estimators and Their Breakdown Points," Econometrica, Econometric Society, vol. 58(5), pages 1195-1214, September.
    4. Fried, Roland & Bernholt, Thorsten & Gather, Ursula, 2006. "Repeated median and hybrid filters," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2313-2338, May.
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    Cited by:

    1. 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.
    2. 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.

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