ITEM METADATA RECORD
Title: Robust online scale estimation in time series: a model-free approach
Authors: Gelper, Sarah ×
Schettlinger, K.
Croux, Christophe
Gather, U. #
Issue Date: 2009
Publisher: Elsevier
Series Title: Journal of statistical planning and inference vol:139 issue:2 pages:335-339
Abstract: This paper presents variance extraction procedures for univariate time series. The volatility of a times series is monitored allowing for non-linearities, jumps and outliers in the level. The volatility is measured using the height of
triangles formed by consecutive observations of the time series. This idea was proposed by Rousseeuw and Hubert (1996, Regression-free and robust estimation of scale for bivariate data, Computational Statistics and Data Analysis, 21, 67{85) in the bivariate setting. This paper extends their procedure to apply for online scale estimation in time series analysis. The statistical properties of the new
methods are derived and finite sample properties are given. A financial and a medical application illustrate the use of the procedures.
ISSN: 0378-3758
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center for Operations Research and Business Statistics (ORSTAT), Leuven
× corresponding author
# (joint) last author

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addendumGelperSchettlingerCrouxGather_Addendum.pdfAddendum robust online scale estimation in time series: a model-free approach Published 177KbAdobe PDFView/Open

 


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