Authors: Fried, Roland
Title: Robust shift detection in time-varying autoregressive processes
Language (ISO): en
Abstract: Tests for shift detection in locally-stationary autoregressive time series are constructed which resist contamination by a substantial amount of outliers. Tests based on a comparison of local medians standardized by a highly robust estimate of the variability show reliable performance in a broad variety of situations if the thresholds are adjusted for possible autocorrelations.
Subject Headings: Jump
Test resistance
Time series
Issue Date: 2008-11-26T14:11:10Z
Appears in Collections:Sonderforschungsbereich (SFB) 475

Files in This Item:
File Description SizeFormat 
tr01-08 Fried.pdfDNB130.63 kBAdobe PDFView/Open

This item is protected by original copyright

Items in Eldorado are protected by copyright, with all rights reserved, unless otherwise indicated.