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 Outliers Test resistance Time series filtering |
URI: | http://hdl.handle.net/2003/24436 http://dx.doi.org/10.17877/DE290R-5208 |
Issue Date: | 2007-07-13T12:03:00Z |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
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tr20-07.pdf | DNB | 217.77 kB | Adobe PDF | View/Open |
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