Authors: Fried, Roland
Title: On the robust detection of edges in time series filtering
Language (ISO): en
Abstract: Abrupt shifts in the level of a time series represent important information and should be preserved in statistical signal extraction. We investigate rules for detecting level shifts that are resistant to outliers and which work with only a short time delay. The properties of robustified versions of the t-test for two independent samples and its non-parametric alternatives are elaborated under different types of noise. Trimmed t-tests, median comparisons, robusti- fied rank and ANOVA tests based on robust scale estimators are compared.
Subject Headings: Jumps
Test resistance
Time series filtering
Issue Date: 2007-07-13T12:03:00Z
Appears in Collections:Sonderforschungsbereich (SFB) 475

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