Title: Efficient and robust scale estimation for trended time series
Authors: Caliskan, Derya ×
Croux, Christophe
Gelper, Sarah #
Issue Date: Sep-2009
Publisher: North-Holland Pub. Co.
Series Title: Statistics & Probability Letters vol:79 issue:18 pages:1900-1905
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.
ISSN: 0167-7152
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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